Talk to your employer about your situation. Massachusetts is taxing teleworkers who are working out-of-state due to the pandemic. The rules do not seem to apply to you since you were hired but never worked in MA:
Pursuant to this rule, all compensation received for services performed by a non-resident who, immediately prior to the Massachusetts COVID-19 state of emergency was an employee engaged in performing such services in Massachusetts, and who is performing services from a location outside Massachusetts due to a Pandemic-Related Circumstance will continue to be treated as Massachusetts source income subject to personal income tax.
If state tax was withheld in error you can file a nonresident MA tax return to claim a refund. You would list all your W-2 income as Non MA source. If you do file this way, you may want to file by mail and attach an explanation. A letter from your employer explaining your situation would be great, but probably hard to get.
830 CMR 62.5A.3: Massachusetts Source Income of Non-Residents Telecommuting due to the COVID-19 Pand...
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