Forms mode is not the best way to get the states figured out. Go to step-by-step. Go through CO nonresident return from beginning to end. Be sure income is properly allocated. Let the program compute the tax liability and finish CO completely. Then go to OK and go through OK all the way to pull CO tax liability and information over. The program can't calculate a tax liability without knowing all the facts in the right order.
Once you finish going through your OK return, you should have the credit for CO showing. You should now see the OK 511TX in your list of forms.
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