Receive pension from Arizona but live in Texas. There is no state tax withholding by Arizona and no tax is owed. Do I still have to file an Arizona return?

No.   The fact that the pension is originating or being sent from AZ does not make it taxable in AZ if you live in TX.   It might be taxable on your federal return, but TX has no state income tax and you do not have to file an AZ return if you did not live in AZ during 2023.

You do not have to file a state tax return based on where the pension was issued if you have not lived or worked in that state in 2023.

[Edited 6:22 PM PDT 4/3/2023]