(My argument is somewhat easier if you consider games where the players play $0$s and $1$s, so that the payoff set is in Cantor space $2^\omega$, and we use the usual coin-flipping probability measure; but an essentially similar idea works in Baire space.)
For any game with payoff set $A$, where player I wins if the play is in $A$, consider the following slightly modified game $A^\ast$, which is just like $A$, except we insert a pair of dummy moves between each pair of actual moves, and insist that player I play a $0$ in this dummy round, while player II can play anything. Thus, a sequence or play is in the payoff set $A^\ast$ if indeed that sequence shows that player I did play a $0$ in all the dummy rounds (so every fourth digit is $0$), and furthermore, if we omit the dummy rounds entirely from the sequence, we get a sequence in $A$.
Thus, playing the game $A^*$ is just like playing $A$, except that the play is interrupted for these silly dummy rounds. Note that player I has no incentive not to play a $0$ on those rounds, and player II's plays in the dummy rounds are ignored entirely.
Thus, it is clear that a player has a winning strategy for $A$ if and only if he or she has a winning strategy for $A^\ast$, since we can translate the strategies from $A$ to $A^\ast$ and back again. The dummy rounds really don't change the difficulty of winning the game.
But the point now is that because every fourth digit of $A^\ast$ is $0$, it follows that $A^\ast$ has measure $0$. (Every time you insist that a particular digit is $0$, it cuts the measure in half again.)
The conclusion, therefore, which does not use the axiom of choice, is that if there is a non-determined set, then there is a non-determined set with measure $0$. In particular, there is a non-determined set that is measurable.