That is correct since you never physically worked in NJ there is no NJ source income. MI as the company HQ is not a factor either.
You only file the nonresident NJ return to get those taxes refunded. In the NJ interview be sure the residency shown is "nonresident" in the "General section." Then in the "Income" section allocate "Zero" income/wages to NJ.
Since you are getting the NJ taxes refunded you will not get/claim a credit on you WI return for taxes paid to another state.
Going forward you only need to file as resident in WI.
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