Are you filing a New Jersey nonresident tax return? The instructions for Form NJ-1040NR say the following.
"You enclose a copy of your federal Application for Automatic Extension, if filed by paper, and check the box at the top of your NJ-1040NR (or enter your confirmation number in the space provided if you filed the extension application online or by phone)"
According to that, you got a confirmation number if you filed your federal extension online or by phone. When it says online, I'm pretty sure it means on the IRS web site, not through TurboTax. But if you don't have the confirmation number, you can print a copy of Form 4868 and enclose it with your New Jersey tax return.
