Typically, for A/D military pay, it's taxed based on your HOR as shown on your LES. Being on termial leave means that you are still active duty until your official retirement date and all pay received is received by you as a Texas resident. You are not a resident of any other state (such as CO) until such time that you establish that residency, which can include things like taking on a full time job in CO, among other things. Each state has different residency requirements. I would suggest you search the state website to see what requirements apply to you.
Additionally, if you don't meet the requirements to be a CO resident, then any money earned from a CO employer is subject to CO taxes and that would be filed as a non-resident. States have different residency requirements depending on the specific situation. For example, residency requirements for collage may be completely different from residency requirements for voter registration. A descent place to start would probably be https://tax.colorado.gov/new-colorado-resident
