https://www.btb.termiumplus.gc.ca/tpv2guides/guides/wrtps/index-eng.html?lang=eng&lettr=indx_catlog_h&page=9i1w-l02pVjM.html makes a fine case for saying Do not hyphenate proper nouns used as adjectives, as for intance a New York State chartered bank but then how should we distinguish between a charterer bank which happens to be located in New York State and one located anywhere but chartered by NYS?
How are locations such as those not postal addresses; like lists or headlines exempt from normal rules?
If your options are as posted then Denver, Colorado-based. Since you're here, is it clear that both Denver-based or Colorado-based should work?
From the point of view of the sentence, there’s no difference except ease of use between a Colorado-based company and a Denver City & County Building, City Hall, 1437 Bannock Street, Denver, CO 80202, USA-based mouthful. It’s just that one is simple and the other awkward.