@krash16_ - it may be as simple as they are not used to having employees working in another state and a clerk sent you the wrong form.
Based on what you have posted, Payroll should be withholding PA state taxes and not KY state taxes. Suggest getting that clarified before you sign that KY W-4 form. You are living and working in PA and will owe them state income tax. You are not working or living in KY and will not owe them state income tax.
