You file in the state where you lived and worked, regardless of where the company is located or based.
If you physically worked in Colorado all year, all your income is Colorado source income. If you worked in another state for 1 month, the income you had for that one month would be source income from the state you worked in. You would then file a full year resident return for the state you lived in and a non-resident return for the state you worked in.
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