I lived in SE Colorado in the Arkansas Valley...pronounce just like the state.
According to Wiki:
Name pronunciation varies by region. Many people in midwestern states, including Kansas and Colorado, pronounce it /ɑrˈkænzəs/ ar-kan-zəs,[8] while many other people in Colorado and Arkansas typically pronounce it /ˈɑrkənsɔː/ ar-kən-saw according to a state law passed in 1881.[9]