Do I need to file a State Return? I live in Wyoming and we do not have state income tax. I work in the state of Utah. So do I need to file a state return for Utah?

Yes, you do.  If you work and earn income in a state with an income tax then you need to file a non-resident state return for UT.

https://ttlc.intuit.com/questions/2895920-why-would-i-have-to-file-a-nonresident-state-return

Yes, you would file a Nonresident Utah state income tax return.

You must file a Utah TC-40 return if you:

1. are a Utah resident or part-year resident who must file a federal return,
2. are a nonresident or part-year resident with income from Utah sources who must file a federal return, or
3. want a refund of any income tax overpaid.

To file a Utah return, first complete your federal return, even if you do not have to file with the IRS. You need the federal return information to complete your Utah return.

See here for more tax information from the state of Utah.

Answer the residency questions in TurboTax where prompted. 

@justinlabrum1997