The requirement to file an Arizona non-resident tax return if Married Filing Jointly is if you had Arizona sourced income greater than $11,000. Since no AZ taxes were withheld from the winnings and the amount is less than $11,000 there is no requirement to file an Arizona return.
The TurboTax program will handle the winnings to be reported on the Colorado return after you enter the W-2G into the program in the federal section.
