It depends -
No - If you were in AZ on a temporary basis (like a vacation even if for several months) when you received the distribution, then this would not be considered AZ sourced income and no AX return would be filed related to this distribution.
Yes - if you made a permanent move to AZ and received the distribution after you made the move, this this would be considered AZ sourced income and you would need to include this distribution on a AZ state income tax return.
