You are not subject to double taxation on your state taxable income.
For Colorado (CO) You are required to file the same filing status used on your Federal tax return. You would be a full year resident and your spouse would be a non-resident. There will be a form 104PN that you will file to show the residency status. See this link for more information on CO Joint Filers & Apportioned Tax
For New York (NY) , you can each file a Married Filing Separate Return since one of you will be full year resident and other lives in another state. See the NY Filing Status If you are required to pay any taxes in CO on a portion of your spouses' NY income, you should be able to claim a tax credit on the NY for taxes paid to another state.
