State tax filing

You have to file in both states.

Normally income is sourced where the work is actually (physically) performed, and your 1099-MISC income would not be taxable by CA since you never worked in CA.  (Note: W-2 wages and salaries are still sourced where the work is actually performed.  Page 6, https://www.ftb.ca.gov/forms/2019/2019-1031-publication.pdf)

However, due to the 2019 Bindley court decision, CA now taxes non-resident sole proprietors on income from services provided to California clients, even if the sole proprietor never set foot in California.

So it appears you must file a non-resident CA return, reporting the 1099-MISC income from your California client.

Since you are an AZ resident, you must also report the income on your AZ tax return.  That's because your resident state can tax ALL your income, regardless of where earned.

CA and AZ are "reverse credit" states.  That means that your non-resident state (CA) will give you a credit for the taxes you pay to AZ on the income that is taxed by both states.  (Normally the home state gives you the credit.)  So in TurboTax, you should complete the AZ return before you do the CA return, which is the opposite of the usual sequence.

You can read the details of the Bindley decision here:  https://www.coblentzlaw.com/california-office-of-tax-appeals-gives-precedential-authority-to-bindley...