What do I need to do to file for sole custody as she will be living with father in a different state?

It is difficult to follow your question. If what you are saying is that you have joint legal custody of a biological child, the child was residing with the mother, the mother is now deceased and the child is living with her father, that is the maternal grandfather, then what you need to do is file to enforce your custody order. If you are the biological father, with a custody order, then you should have priority over any other relative. You should consult with an experienced Arizona family law attorney to assist you.

If the mother is deceased, the father has sole custody unless there is a legal order in place putting the child with the third party.

Go pick her up.

If you are the father, you are now entitled to sole custody since the mother is deceased. If the father in a different state is the step-father, all he could do to keep custody would be to file for guardianship. But then, he would have to prove that you are not able to provide a stable home environment.