If he was not physically present in Colorado he will need to file a Colorado Non-resident tax return and claim $0 Colorado source income in order to get his withholding refunded.
He will also have to file a Nebraska tax return and pay whatever is owed. Unfortunately, since he has no Nebraska withholding he will likely owe an under withholding penalty.
If he is working for the same company this year, he should have them not withhold tax for Colorado. He should make Estimated Tax Payments to Nebraska so he doesn't continue to get the under withholding penalty.
