If the trust does not have CO or MA source income, then it is definitely possible.
CO defines a resident inter vivos trust as any trust which is administered in Colorado (which this one is not).
MA defines a resident inter vivos trust as any trust where the grantor was a MA inhabitant when the trust was created or where the grantor resided in MA during any part of the year for which the income is computed (neither of which appears to be the case here).
Of course, the beneficiary will likely have to report to his/her home state on any taxable income distributed from the trust.
Finally, it is always best to obtain professional guidance on these issues since they can become rather complicated and circumstances (and the law) can change.
