Here's a link to info about Form 309, Arizona Credit for Income Tax Paid to Another State.
Prepare your Non-Resident New York return first, then Arizona Resident.
If the issue doesn't resolve, try Deleting Arizona and going back into your Federal Return, Wages & Income section, and deleting/re-entering your W-2
Then go to prepare Arizona and see if the issue resolves. The Credit for Tax Paid to Another State is part of the program and should show up for you.
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