You would need to establish residency in the target state. That usually means having a residence there that you occupy for a certain percentage of the time. (For Kentucky and Indiana, that period of time is an average of 3 days per week. I did this for a while - had an apartment in both states and lived in the former for 3 days a week and the latter for 4 days a week. Made doing my taxes more interesting - I had to file as a resident in both states.)
Not telling the truth about your residency status and using that to save money on taxes (of any sort) is fraud and carries both financial penalties and potential jail time. The states, being in need of money, are getting better and better at detecting this. It's really not a good idea to try it.
