I am not a resident of Oklahoma but won money there. I paid state tax at the time but it now says I owe a underpayment penalty. Why?

NOTE: you did not "pay state tax" at the time; all you did was some withholding for when you eventually filed your non-resident return.

Let's see if the following is true:

1. your income tax liability exceeded your withholding by $500, and

2. the amount you owed Oklahoma was more than $1,000.

I am sure that some tax was withheld when you got your winnings, but since the casino or whatever has no idea what your tax situation is, they probably do a standard percentage (for them) of up to 4% for state withholding - but I see on the Internet that casinos may vary in their practice - some withholding zero percent.

So your jackpot was large enough that items #1 and #2 were true.

Make sense?