If I live in Alabama and work in Georgia, should I have to file an Alabama state return. I didn't make any money in Alabama

Yes. Georgia will tax the work performed in the state. Alabama has no reciprocal agreement with any state for income taxes. ‌You will file a non-resident return for the work performed in Georgia, then you will take a credit for taxes paid to other states on your Alabama return.  

Here's how to claim the credit for taxes paid to other states:  

1. First prepare the non-resident GA return (don't skip this step or the credit might not populate correctly)

2. Next, prepare the resident AL return.

3. TurboTax will compute the credit for taxes paid in other states.

You can read more about living and working in different states here: Multiple States—Figuring What's Owed When You Live and Work in More Than One State