Turbo Tax is saying I need both forms but it is not supported by Turbo Tax.
We lived in Georgia from 1/2019 - 3/2019 and moved to Alabama in 4/2019. My wife worked in Alabama all of 2019 and I worked in Georgia all of 2019. So do we really need to file but both a Form 40 and 40NR?
Yes, since you were a part-year resident and you also had income from Alabama sources while a non-resident during the same tax year.
In your case, if I understand correctly you were a part-year resident but your wife had Alabama income during the period of non-residence (January - March) which requires you to use both forms according to Alabama's instructions.
The instructions are here: Alabama Form 40NR Booklet for reference (this issue is addressed at the top of the middle column on page 5.)