Did you receive healthcare coverage from one of the state Marketplace Exchanges or from healthcare.gov?
If not, then you will not receive a Form 1095-A.
You only get a Form 1095-A if you had health insurance from the Marketplace ("Obamacare"). When TurboTax asks if you got a 1095-A, answer No.
"I didn't have health insurance all year"
Do you mean that you had health insurance for part of the year, or that you did not have health insurance at any time during the year?
If you had Marketplace insurance for part of the year you will get a 1095-A for the months that you did have it. But again, Form 1095-A is only for insurance from the Marketplace. If you had any other kind of health insurance you will not get a 1095-A for that.