I worked in Arizona but did not claim residency there, as my work/living was temporary. Do I claim any percentage of my Interest Income or adjustments there?

If you were only in AZ temporarily to work, then you would only pay tax on the income earned in AZ.

Your other income (e.g. interest) would not be taxed by AZ and, unless they were directly the result of the AZ income, your federal adjustments would not apply to your AZ return.