Part-year and nonresidents of California are subject to income tax on "services performed for wages" while physically present in California. I do not understand: "But I could not continue staying there [Colorado] because of covid spread."
From your W-2, it appears you lived and worked in California from January to August 2020 and lived and worked in Colorado from September to December 2020. In that case you should file a part-year California and a part-year Colorado income tax return.
Executive Order N-33-20 does not impact your CA source income unless you moved back to CA in 2020. In that case, as above, any income earned in CA is taxable to CA. See Teleworking and the “Stay at Home” order in COVID-19 frequently asked questions for tax relief and assistance
