The answer is that it depends upon the state in which you perform, and how that state treats the taxation of non-residents who have earnings from a source within that state.

Completely agree with Mr. Goldberg. Would like to also add that for the most part you are best served generally thinking about your gigs like this... If the gig makes a profit (Gate receipts + merch etc. LESS expenses to perform) then you most likely have both a reporting AND paying responsibility to the state(s) in which the performance(s) occurred. This also generally applies if you are a session artist working on projects. If you are part of a production effort that involves royalties or the prospects of future royalties you are best served finding an experienced #EnrolledAgent to consult and engage in tax planning.