Casino winnings are not taxable in Connecticut if you are a nonresident.
No matter what, you report all of your income to your home state of Massachusetts. When allocating income to your Connecticut nonresident return, the gambling may not be allocated to that State. Also, you cannot allocate any gambling losses if you have no gambling winnings that apply to that return.
According to the CT nonresident instructions, gambling winnings other than reportable Connecticut Lottery winnings (shown on federal Form W-2G) are not taxable to Connecticut if you are a nonresident.
Connecticut has an entire bulletin on this issue:
http://www.ct.gov/drs/cwp/view.asp?A=1510&Q=493764