I reside in NM. I work for a company in CO. I work in cycles of 8 days at a job site and 6 days at home in NM. I earned 90% of my income in WY, 10% in CO, and 0% in NM. I received only one W2 with taxes only taken for CO. Do I file for all three states?

That's a very good question. Your employer is in CO, right? So you are actually working in CO even when you are on different job sites. You live in NM, so you have to file NM taxes as that's where the income winds up even though you didn't earn it there. You have to file in CO as well as that's your employer's home state. But the other states probably would not require you to file as you neither live nor are employed there.

The fact that the company is headquartered in CO has no bearing on this at all - all that matters is where you worked and where you lived. Since you were assigned to job sites in WY and CO you have to file and pay taxes on the income you earned in those states. You also have to file in NM because that is where you live. Complete the NM return after the other two and be sure to take the credit for taxes paid to other jurisdictions (namely WY and CO) so that you aren't paying taxes to two states on the same income..