It doesn't matter where you "earn" your income, it matters where your residence is. You pay state income taxes to the state in which you reside. Just because work is performed in a different state does not mean it is earned in that state.
I don't know the tax laws for each state, and some might require a return for nonresidents if income taxes were taken out for that particular state. In Tremblay's case, Arizona state income taxes were not withheld from his salary and therefor he is not required to claim Arizona income, since technically, it was not Arizona income.
Payroll is not my area of accounting, but I do know that every place I have worked has only taken out state income taxes for the sate in which that employee resides. I have also had a few different jobs in which I worked in different states than my resident state, and sometimes performed all of my work out of state. Never did I, or should I have had, income taxes withheld for the nonresdient state I worked in. It would require way too much work and far too many copies of W-2's if people needed to claim income for each state they did business in or worked in. It would be damn near imposible to track accurately.
Sorry to hijack a football thread to discuss tax accounting, but you are incorrect. Every state (or virtually every state since I know of no exceptions) has what is called a nonresident return. Nonresident returns are to be filed when you earn income in a state that is not your resident state, regardless of whether or where withholding taxes are remitted to. Technically, if Tremblay earned part of his income by working in another state (for even one day), he should file a nonresident return. Now, it's unlikely that would be significant, so no one will focus on him. Professional athletes on the other hand...I read a while ago that during one states fiscal crunch, that state intended to go after every professional baseball player that had played a game in that state for a portion of their payroll that was technically "earned" while playing a game.
Again, the fact that many, such as Tremblay or you don't technically follow the law, doesn't mean the law doesn't exist.