You are a resident of Indiana and that state has a claim on all income.
Ohio is a reciprocal state and you would file a non-resident return with Ohio to get back any Ohio taxes withheld. See here page 3 for Reciprocal Agreement States.
Colorado is not a reciprocal state and you would file a non-resident tax return with Colorado.
Indiana may give you a credit for taxes paid to another state. In the Indiana tax return, on the page Your 2019 Indiana taxes are ready for us to check, see Credits and taxes. Click Start to the right.
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