It appears that @TomD8 is correct*, CO taxes that.
For others reading this, the general rule among states (but not all states) is the opposite: You only pay state tax to the state you live in, not to the state paying the unemployment.
* Quote from the reference provided:
"Severance, Paid-out Sick and Vacation Leave, Disability Pay and Unemployment
Insurance. Severance pay, paid-out sick and vacation leave pay, disability pay
and unemployment insurance is Colorado-source income to the extent that the
income is attributable to employment in Colorado regardless of whether the
person is a resident when the benefit is paid".
