Unemployment benefits are not taxable in Pennsylvania. They don't even appear on your Pennsylvania tax return.
Since you are a New York resident, all of your income is subject to New York tax, no matter where the income is from. And unemployment benefits are taxable in New York.
There are many possible reasons that you might owe tax to New York, and it doesn't necessarily have anything to do with unemployment. The amount you owe is not tied to any particular type of income. It's based on your total income for the year and the total amount of tax that you had withheld. But if you did not have any New York tax withheld from your unemployment benefits, that certainly could have contributed to having a payment due.
