No, you do not need to include a copy of the federal tax return with your PA-40X.
But, you should wait until the original 2019 PA-40 has been processed (refund received, or payment clears bank account) before you file the PA-40X. That way, the PA Department of Revenue will have a "record" of the return being amended.
The form and instructions for PA-40X are at this link.
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