Can you file your taxes in any state?

It doesn't matter from where you file (mail) your taxes. However, you don't get to pick what state you want to file a tax return for.

In general, you are required to file a state return for the state in which your primary residence is. If you have income that derives from a source in another state (for example, you live in Connecticut, but work in New York) you have to file a return for the state(s) where your income is from in addition to the one for the state where you live.