@Rae2020 -- Since your income is not subject to MN taxation, you should submit a non-resident MN return, showing zero MN income, in order to have the incorrectly withheld MN taxes refunded to you. It then follows that you would not claim an out-of-state credit on your CO return, because in the end you will not be paying any tax to MN.
My own suggestion would be to file the MN return on paper, along with a note explaining that you neither lived in nor worked in MN in 2019, and that MN taxes were incorrectly withheld. If you e-file the return, there's a chance it may be auto-rejected because of the discrepancy with your W-2.
**Answers are correct to the best of my ability but do not constitute tax or legal advice.
