You will need to make a determination about which state is your resident state, there is no one determining factor but rather you should consider a number of factors (you are already on the right track - review the examples in the article below).
You are correct that if you are a resident of Iowa that Arizona would not tax your investment income. If you rented out your home that you rented in AZ or has business income in AZ those would be taxable, even if you are an IA resident.
https://ttlc.intuit.com/replies/3301816
