You should contact the employer for a corrected w2 showing your MO wages and not AZ wages. You can file an extension for time to file, not to pay. Any payment would be due today and can be paid to MO here.
Otherwise, file an AZ and a MO and be prepared to explain to AZ why you have a w2 showing AZ income and proof to refute that it is not taxable. MO will be happy to take your money with no known income.
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