Massachusetts residents are taxed on income earned everywhere—and unemployment benefits are taxable in Massachusetts. That is why your husband’s Connecticut unemployment is included in your joint Massachusetts income tax return.
Massachusetts will give you a credit for tax paid to CT.
If you prepared the non-resident CT return first, the tax credit should be on your MA return. The credit will appear on line 30 of MA Form 1. If you don’t see it, complete the section Pay Tax to Another State? In the Massachusetts program.