Yes, if you are a nonresident alien and have income producing property in AZ, you would still need to file an AZ return using form AZ 140NR. However, since you are a nonresident alien, you would not be able to use TurboTax to file this return as you would need to a federal return with it. As a non resident alien you would file federal form 1040NR which TurboTax does not support. You can use Sprintax.com for your filing needs.
Arizona form 140NR Instructions
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