Do I have to file a nonresident State tax return?

It pretty much depends. Each state in the US has different tax laws and depending on the state where you live, you may be required to file a State tax return. 

Nine US states don’t impose any income tax on income – Alaska, Florida, Nevada, New Hampshire, South Dakota, Tennessee, Texas, Washington and Wyoming.

Remember that if you are shown that you should file a State tax return on Step 6 - State taxes though, you are obligated to do so if you wish to have clear records for your future visa applications.