CT only applies the convenience of the employer rule when the nonresident's state is a convenience of the employer state. MA is not a convenience of the employer state, therefore if she is performing all the work in MA, she should not be taxed on her wages by CT.
If she is exclusively working in Massachusetts, then you should be withholding Massachusetts taxes. If she does have to come to the home office on occasion, you may have to withhold CT taxes as well.
The MA website should point you in the right direction in terms of your obligations for collecting and remitting taxes.
