20+ years ago I won a $5K drawing in Tunica MS. They withheld 5% I think. I didn't live in MS. I got a MS Non Resident income tax form and filed it.

They only counted the $5K as my (MS) income. I didn't have to count my non MS income. I got the usual personal/standard deductions on the form and so didn't have much MS taxable income. I didn't try to claim any losses.

I got a refund of about half the withholding.

I have no idea what MS laws are now or how other states would handle non residents.

This wouldn't have helped much for a million dollar win though but might help on a slot hand pay.