You will have to file an AZ non resident return and pay tax on the sale.
In regards to capital gains, Arizona has no special arrangement. Capital gains included on an individual's federal adjusted gross income are included on his or her gross income and taxed at the individual's regular tax rate.
WI will give you a partial credit for what you pay AZ. The net effect is: you will (most likely) pay no WI tax on the sale. It all goes to AZ.
