Yes, if you still consider yourself a Texas resident and are there for work, you would file a nonresident return for the income that you earned in Arizona. You can use whichever address where you get your mail.
Most states in the United States define “residency” based on a person’s “domicile.” Domicile, in general, is the place which an individual intends to be his or her permanent home and to which such individual intends to return whenever absent.
An individual can only have one domicile at a time. Once a person
acquires a domicile, he/she retains that domicile until another is
acquired. A change of domicile requires: 1) abandonment of a prior
domicile, 2) physically moving to and residing in the new locality, and
3) intent to remain in the new locality permanently or indefinitely. If
a person moves to a new location but intends to stay there only a
limited time (no matter how long), their domicile does not change.
As indicated above, the location of a person’s domicile is dependent on a person’s intentions. Intent is a state of mind. A state of mind is difficult to prove. As a result, taxing authorities (and courts) look to a person's actions to determine their intent. Some of the factors that courts and taxing authorities look to include: