As a resident of PA, all your income is taxable regardless of where earned.

Complete federal return.

Then complete a non-resident CO return making sure only the CO sourced income is taxed.

Then complete your PA resident return reporting all income, including that earned in CO.  Pay particular attention the the section for " taxes paid to another state" and be sure the PA return contains a Schedule GL where you receive a PA credit for taxes paid to CO (it likely will not be a dollar for dollar credit).to avoid double taxation.

Your CO income is also includable on your PA local earned income tax return.