If you are considering the Wisconsin home as a Second Home, you can take the deduction for interest and property taxes on your federal taxes. It goes in the same area as your primary residence in the Your Home area of Deductions and Credits.
If you rent out the Wisconsin home, then you will need to file a non-resident tax return for Wisconsin to report the rental income and expenses.
The address listed on your W-2 doesn't matter (except for the fact that you want to enter it into the software exactly as shown on the form). I am curious as to why they sent a W-2 and not a 1099-R form for a retirement plan distribution. Was it paid as stock options or similar type of income? If this was actual income earned in Wisconsin, you will need to report it on a Wisconsin non-resident tax return. If not, it can be reported on the Arizona tax return only.How to file a non-resident state return?