State Income Tax for a Special Needs Trust

I'm not aware if there is a specific rule on this. But normally the trustee is the legal owner of trust property, and where the trustee is located is normally considered where the trust is located. So I would guess that trust taxes (assuming it's an irrevocable, non- grantor trust) would be filed where the trustee is located.

Of course if some trust property is located in a different state, then that state may also require a return to be filed to report income earned in that state.

If you are unsure, you should find a professional tax preparer (either CPA or Enrolled Agent) to advise you and do the trust taxes.