Your unemployment income is "Oklahoma income".
As @DanielV01 states above, "although unemployment insurance income may come from another state, it is only taxable to the state you were living in at the time you received it".
(Some states (e.g. Massachusetts) take a different view - if your unemployment was paid out from their unemployment insurance fund after you moved elsewhere, then they consider it as taxable by them and by your new state. Oklahoma is not one of those states).
