No, if there was no income from DE sources, you do not need to file a DE return. Even if there was income, you would pay AZ taxes, not DE.
Here is the language from their instructions:
Non-Residents – File a tax return if you have any gross income
during the tax year from sources in Delaware.
Source: https://revenue.delaware.gov/services/current_pit/TY17_booklet_nr.pdf
