I work 6 months in AZ, I live in TN. Do I need to az state taxes held out of my pay?

Since you worked in AZ you must pay AZ income tax on the wages you earned there. File in AZ as a non-resident.

You say you didn't live in AZ, but I assume you didn't commute home to TN each night. Hopefully you have good records to substantiate that this was always intended to be a short-term job for you, otherwise the AZ tax authorities might insist that you are actually an AZ resident and hence try to tax your full income.