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State tax filing
You must still file a California tax return. California taxes you as a resident on ALL your income, regardless of its source.
Arizona does not tax non-resident remote workers. If you never actually (physically) worked in AZ, then your work income is not taxable by AZ. If your employer mistakenly withheld AZ taxes, then you must file a non-resident AZ tax return, on which you declare zero AZ income, in order to receive a full refund. On your CA return, you may not claim a credit for the incorrectly withheld AZ taxes.
You should ask your employer to withhold CA taxes from your pay. If you will never work in AZ, then you should also ask them to cease withholding AZ taxes from your pay. If they will not withhold CA taxes for you, then you must make quarterly estimated tax payments to CA. See this:
https://www.ftb.ca.gov/pay/estimated-tax-payments.html