Can I permanently leave the state (CO) with my young child to live near and with my family in a different state after divorce?

If you have not yet filed for divorce, there is no law preventing you from leaving the state to live somewhere else with your child.  You can't be forced to stay in Colorado.  If you aren't able to do that because of your husband's control of you, then you should file for divorce, and consider filing a motion for temporary protection order.  However, once you file for divorce, you will not be able to take your minor child with you absent your husband's consent or court order based upon your child's needs, not your own.  You should consult with an attorney before taking any further action.  Good luck.

I would recommend that you review this request with a family law attorney who has litigated several parental requests to relocate with young children.  There is not a simply answer to your questions and a court would or would not permit the children to relocate with you, if you choose to move out of the state.