Where is your domicile? The place you call home, the place where you "live", have a home, a phone number, a mailing address, a drivers license, voter registration, and so on.
Do you live in Texas but commute to Arizona to work?
The general rule is that you pay tax to the state where you work and to the state(s) where you work. In you case, of course, you don't owe tax to Texas, but if you are working in Arizona, then you will have to file a non-resident return there.
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