Pueblo County Colorado only has them near the Pueblo Chemical Depot east of the city of Pueblo, to be activated in the unlikely event of a chemical release. I don't know what their testing protocol is. As you move down the Arkansas River valley, where tornadoes become more likely as you move away from the mountains, you start to see them (La Junta?). I don't think Colorado Springs has them either, but don't know about the Denver area. Denver and north is sort of a mini-tornado alley.
I remember them in the Twin Cities, and I think the test was first Wednesday of the month at 1:00 p.m. When I first moved there in the 1970s, it wasn't possible to isolate the zone that was activated, so our sirens would go off under a blue sky because of a tornado warning for a suburb 20 miles south of us. Later, activation was shifted over to the individual cities. Sometimes, in some cities the sirens would be activated for a strong thunderstorm that didn't have a reported tornado.