If an AZ complex trust (whose benes live in AZ) makes income in MN, ND and MT and pays all the income to the benes, who files taxes in MN, ND and MT? The trust or benes?

"The trust or benes?"

If there is sufficient state source income, then it could very well be both who must file. 

State requirements vary so I have included links (below) to each state mentioned in your post.

ND: https://www.nd.gov/tax/user/businesses/formspublications/fiduciary-tax

MN: https://www.revenue.state.mn.us/Forms_and_Instructions/m2_inst_18.pdf

MT: https://mtrevenue.gov/taxes/fiduciaries/filing-requirements/