Did your employer withhold AZ taxes? If not, then you do not need to file a state tax return at all.
If your employer did withhold AZ taxes, then you will need to file an AZ return in order to claim a refund. To do this, you will create a nonresident AZ return and walk through the first several screens. You will come to a screen that says AZ Income. The amount that was listed on your W2 will be entered there. You will change this to $0. This will remove all your tax liability and give you a refund of any taxes you paid in.
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