What does Colorado mean in Italian?

"Colorado" doesn't have a direct translation in Italian. It's a proper noun, specifically the name of a US state, and therefore it's used as is in Italian.

However, you could try to convey the meaning of "Colorado" by describing it:

* Stato del Colorado: Literally "State of Colorado"

* Colorado, lo stato americano: "Colorado, the American state"

* Colorado, un territorio montuoso negli Stati Uniti: "Colorado, a mountainous territory in the United States"

The best way to translate "Colorado" depends on the context of your sentence.