Where is your domicile? The place you call home, the place where you "live", have a home, a phone number, a mailing address, a drivers license, voter registration, and so on.
Do you live in Texas but commute to Arizona to work?
The general rule is that you pay tax to the state where you work and to the state(s) where you work. In you case, of course, you don't owe tax to Texas, but if you are working in Arizona, then you will have to file a non-resident return there.
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I live in Texas 90% of the year and spend the rest of my time traveling to Arizona. I tried to change my state in Turbo Tax but had difficulty doing so since I paid state tax the previous year in Arizona as I spent the majority of my time in Arizona that year.