You are correct that Oklahoma does not tax Active Duty Military pay. The Oklahoma Tax Commission's website says: "An Oklahoma resident who is a member of any component of the Armed Services may exclude 100% of his/her taxable active duty military pay. This includes Reserve and National Guard pay. (Form 511, Schedule 511-C or Form 511NR, Schedule 511NR-C) " (https://www.ok.gov/tax/faqs.html#c410)
In your case, if your active duty military pay is being taxed in Oklahoma, perhaps you did not indicate that you were active duty military in the My Info section of the federal return.
Click on My Info on the left. Edit your personal information (the pencil to the far right of your name). Just under Occupation, indicate that you are a member of the US Armed Forces.
When you hit Continue, the next screen will be entitled "(your name), what was your military status as of December 31, 2017?". Click on active duty military, and then answer the question as to how much of the year you were active duty. Continue with the interview, answering a few more questions about your military pay grade and your duty zone.
Now, go to your W-2 and edit it. After you hit Continue from the main W-2 entry page, you will see (perhaps after another screen or two) a screen entitled "Do any of these uncommon situations apply to this W-2?". Check the box that reads "Active duty military - The wages on this W-2 are active duty military wages."
When you get to the Oklahoma return, you will now see a screen entitled "Military Pay Exclusion". (If you do not, then delete and re-add your Oklahoma return.) Enter the amounts that apply to active duty, reserve duty, and National Guard duty. This should exclude 100% of your active duty military pay.