I'm a resident of Texas, but won some money at a gambling casino in Oklahoma. I've reported the W-2G winnings on my income, but TurboTax is asking me to do an Ok return. Do I have to do a state return or do I ignore?

[DanielV01]

Yes, you will file a state return for Oklahoma as a nonresident.  Although Texas does not tax gambling or any other type of income, income you earn (or receive) in Oklahoma is taxed and must be reported.

You do not have to use TurboTax to file the state return if you do not wish to, but Oklahoma will require you to file a return and pay their tax.