State Tax remote worker NY company living in MN

Hi!

 

I live in MN and work remote for a company based in NYC. Have lived in MN all year, and only worked from home. Their payroll system did not have the option to include MN state taxes, so they witheld NY state taxes instead.. Do I fill out two state tax returns, one for MN and one for NY? If so, I'm confused about this question in the NY state tax return: "Were all of your wages and/or your self-employment income earned in New York State?"

 

This is my first time doing taxes, and I made under 10k last year.

 

Thanks!