You need to file a KY nonresident reciprocal return. Because Indiana and Kentucky are reciprocal states, Indiana does not give you a credit for taxes you pay to Kentucky, because you should not pay state taxes to Kentucky. Indiana does provide a credit for local taxes you may pay to Kentucky, but KY local taxes withheld on a W-2 are not reconciled on a KY state return, and refunds are not issued. (I'll get back to this at the end of the answer).
The first screenshot below is to show the residency selection you need for the KY reciprocal return. Keep in mind that this return is correct if all of your earnings in KY were wages paid on a W-2. If you have rental or self-employment income, you will be required to file a KY nonresident return and pay KY tax on that income, but your question suggests your only KY income are paid wages. Also, if KY state tax were not withheld (as what really should be the case), then you would not need to file a KY return at all. This does mean, however, that you will owe Indiana the full tax. You can correct this, however, by filing form 42A809 (click on link for form), so that only Indiana state tax is withheld. That way in the future it will not be necessary to "rob Peter in order to pay Paul" so to speak.
The following screenshot then shows the trigger screen for how to claim the KY local tax withheld as a credit on your Indiana return. Indiana counties tax you whether you work or live in the county, and KY localities tax you when you work there. To reduce double-taxation, Indiana allows this local tax credit as part of the state return. Please note all of the screenshots below:
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