State withholding two different states

Hello - I live and work in AZ.  I received income and withholding from my current job in AZ.  My prior company is in Ohio and I received a W2 for stock incentives (vesting) which occured in 2019   The liability is significant.  Do i include all of my income and file a return in both AZ and Ohio in addition to Federal?  Can i obtain a refund on local taxes in Ohio since i no longer live there and did not perform work there in 2019?  Thank you for any insight.