Box 15 on my W-2 is left blank, but the state in which I worked is not income tax exempt state. Is it because I reside in another state? Or maybe because I'm a student?

You would have to ask your employer why they didn't withhold state income tax.  Your employer should have withheld state income tax for the state in which you were working, unless you claimed exempt.  All of your income i (regardless of where earned) s taxable by your resident state.  Income is also taxable by the state in which you earned it.  If you pay tax to your non-resident state, you will receive a tax credit from your resident state for tax paid to another state.  Your income could be below the threshold for either state to owe any income tax.  

And...which two states are involved?

Some states have reciprocal tax agreements between them, where one state won't tax the residents of the other state.   In that situation, the employer "might" be able to withhold for the proper resident state, but may not be registered to do so, nor are they required to do so.   It's still income that will be taxed by your resident state.