Per the Mississippi Department of Revenue Individual Income Tax FAQs webpage:
No. Taxes withheld by Mississippi casinos as a result of gambling winnings are not refundable in Mississippi. Mississippi residents are not required to report Mississippi gambling winnings as income on their state return. Out-of-state residents are not required to file a return if the only income earned in Mississippi was Mississippi gambling winnings.?
Note that any link in the information above is updated each year automatically and will take you to the most recent version of the webpage or document at the time it is accessed.