Look at your paystubs and verify that there were no withholdings for NYC. If they did and it is not showing on your W-2 you will need to contact your employer to get that fixed and another w-2 issued. If they did not withhold any NYC taxes you still will need to file an NYC return and will likely have a tax due that you will have to pay when you file the NYC return.
You will need to file your NY State and City returns first as your nonresident state and then file your NJ return so you can take the credit for taxes paid to NY.
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