You should not claim the credit.
The income earned while working remotely in MA for a company located in AZ should be taxed in MA.
Make sure your income is allocated correctly between the 2 states. You should be taxed in AZ for income earned from the beginning of the year until the day you moved and the rest of your income will be taxed in MA.
AZ refund goes to you and you can choose how to receive it.
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