If you worked in another state do you have to file a state return

Yes, Iowa has a state income tax so you will have to file an Iowa nonresident state tax return.

In the My Info section of the program when entering your personal information you are asked if you made money in another state.  Answer Yes and choose Iowa.

See this TurboTax support FAQ for working in another state - https://ttlc.intuit.com/community/state-taxes/help/how-do-i-file-a-nonresident-state-return/00/26066

.....though there is an exception if you are an IL resident since IA and IL are reciprocal tax states. 

An IL resident working in IA would notify the IA employer of that (some form to fill out)...then the IA employer would withhold only IL taxes (or neither IL nor IA taxes if they are not registered to pay IL withholding)...then you would not indicate you had Other State Income since all of it is treated as-if earned in IL.