Multiple State Tax Situation - How to file?

I live and work in New York state all the year and my spouse moved to Colorado in mid June 2020 for work. My spouse was a student in New York without any income when my spouse was in NY with me. I will be filing jointly in my federal (MFJ). But for my state taxes, Colorado requires us to use the same tax filing status (MFJ) as my federal and NY allows us to file Married Filing Separate status (MFS) since I am NY Resident and my wife may be a CO resident. My question is whether I can do the following:

 

  1. File Federal Income Tax - Married Filing Jointly
  2. File NY State Tax - Married Filing Separately 
  3. File CO State Tax - Married Filing Jointly 

Is this correct? or Are these filings not allowed as per the NY and CO tax rules?   Thanks