You do not have to file them together. You may need to delete the state if you don't have the option to change which tax return to file because you did not pay for the state fee.
Please see this TurboTax FAQ: https://ttlc.intuit.com/replies/3374295
**Say "Thanks" by clicking the thumb icon in a post
**Mark the post that answers your question by clicking on "Mark as Best Answer"