I'm a Flight Attendant. My W2 is from the headquarters of the airline I work for in AZ. However, I reside in MO. Is that considered making money in another state?

No, that is not considered making money in another state. It does not matter where your employer is located. On your individual tax return, you always file taxes in the state where you reside or work. 

While your answer was technically correct for this individual your blanket statement "you always file taxes in the state where you reside or work" is incorrect for some people.  Someone could read this answer if they were in the military and think you are right.  In which you are are more than likely wrong.  You file taxes in your "home of record" in the military not the state you live in unless they match