What are we defining as a Democratic state?
I assume a mostly Democratic state government and Democratic at the federal level as well (obviously not 100% Democratic all the time for all federal races, though).
If that's the foundation of 'Democratic state', then Colorado has some strong pro-Democratic trends but it's not quite there yet.
I don't think we need to take anything into account besides presidential elections, honestly.
Then I'd say it's not. It'll usually go with the winner.
New Mexico has consistently gone with the popular vote winner in all but one election, but I think everyone agrees that it's currently a Democratic state.