When they first legalized gambling in Mississippi, they took the normal 5% Mississippi State income tax out of the payout winnings, and everyone (I live in Tennessee, so had lots of clients that went to Tunica), would file a Miss Non-Resident and get most if not all of the  inc tax w/h back.  Well, of course this completely bogged down the Miss Dept of Rev with paperwork, not to mention the outflow of money that they thought was theirs.  So, after a few years. the decided to just tax the winnings at a lower rate of 3% and KEEP all of it..non refundable- non reportable. I would suspect you would need to report the w2g as income on your NC return, just like if you worked in Mississippi and made $.  If they are able to itemize, gambling losses (up to winnings) are still a thing...lol