I have a w2g from another state. They deducted that states income tax from my payout and reported state tax withheld on the w2g. Do I need to do a return for that state? Thanks

Yes, you will.  For the state in question, you will file a nonresident return.  You will want to know that the state you live in also taxes the gambling income, but you will receive a credit for the income tax you must pay to the other state on the gambling income you received there.