It is possible your employer will not withhold taxes for the state you live in just the state you work in so are they withholding any state taxes at all ? You will file a non resident return where you work and then a resident return where you live and get a credit for the taxes paid to the other state. If you file early enough you should get the refund from the one state to pay the balance due on the other state.
And if your income is low enough they may not withhold federal/state taxes at all.
