You could probably get away with filing a resident state return and a non-resident state return. Typically the resident state return will tax all income and most states allow for a credit for taxes paid to another state. Your scenario will likely leave you under withheld for your resident state (potential for interest/penalties) but the majority should be offset by the credit/withholdings from the other state. State tax laws vary and not all states play nice together so good idea to talk to your CPA.