Do i file a state return in Missouri if its not my home of records while I am active duty military but I sold a house in that state I made way under the 250,000 mark

No - If this is the sale of your primary residence and you meet the IRS home gain exclusion (and you did not receive a 1099-S for the sale), you will not report this sale on your federal or any state tax return.

Yes, you need to file a nonresident return to report the home sale in Missouri.   See the link for instructions.    If you are able to exclude the gain on your federal return, you may not need to file the Missouri return.   See the links below.   Members of the military have special rules for excluding capital gains tax on home sales.   TurboTax will handle the exclusion, just make sure your military information is included in the personal section.  

Generally, you’ll need to file a nonresident state return if you made money from sources in a state you don’t live in.   Some examples are:

• Wages or income you earned while working in that state
• Out-of-state rental income, gambling winnings, or profits from property sales
• S Corporation or partnership income
• Beneficiary income from a trust or estate
• For active-duty military: non-military income earned outside your state of legal residence
• If your employer withheld taxes for the wrong state

Home Sale Capital Gain Exclusion 

Military Extension of Capital Gain Exclusion - Details are in this link

Military Family Tax Benefits - IRS