Can I file more than one Federal tax return form? I have 2 W-2s...?

I have two W-2 forms for the tax year 2009. One for the first 8 months for my job at KY and the other for the remainder in CO. I am a Non-Resident Alien (NRA) looking to file the 1040NR-EZ and Form 8843. Please let me know if I file two Federal returns and two State returns (one for KY and the other for CO).