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If you lived and worked in CT, then you only pay CT tax. Many employers have corporate offices in other states from which they mail the W-2. You do not have to pay AZ tax just because they mailed your W-2 from AZ.
If the AZ address is your employer's address, no, you don't have to file an AZ state income tax return if you are not a resident of AZ,
If you are not a resident of AZ and don't physically work in AZ but your employer withheld AZ state income taxes, you'll have to file a nonresident income tax return to get a refund of the AZ income taxes that were withheld from your pay.
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