You need to consider both physical nexus and economic nexus.
Since your office is physically in Europe, your physical nexus is there. It's not at Amazon's warehouses. Plus, it would be nearly impossible to keep up with which warehouses have your items.
You may have economic nexus in some states. That's not really about where the Amazon warehouses are. It's about where your customers are and how much you're selling in each state. For example, if you have $100,000 in sales to customers in Colorado, then you have economic nexus in Colorado and should collect and remit sales tax to that state.
It's pretty confusing, but this article does a good job of breaking it down.
For your problem, Here is a list of tax setting guides for Shopify I found on Avada a few minutes ago. This list consists of How to set the tax rates for a new location, set up automatic tax rate, update tax details, set up tax-exempt customers, set up tax rates manually, charge tax on Shipping rate, ...
I hope it helps!