State tax filing

You can have an AZ mailing address, but you need to enter TX in the resident state box if you are trying to avoid a AZ return.   Do you have Arizona income entered?    Are any of your wages from Arizona, or did you have any tax withholding from AZ?  

   If you don't need an AZ tax return, delete it or don't file it.   Your mailing address can be anything - TurboTax generates state returns based on your State of residence!