State tax filing

You will need to file a part-year return for New Jersey for the few days your fiance lived in New Jersey and a resident return for Pennsylvania. You do not need a nonresident New Jersey return due to the reciprocal agreement between Pennsylvania and New Jersey and the fact that no New Jersey tax was withheld in error. There will be no tax owed to New Jersey if your fiance did not earn money in New Jersey or have any unearned income during the few days she was a resident. 

For the question, Yes we made money in another state? please answer no. You would only answer yes to this question if you earned money outside of Pennsylvania or New Jersey. Please see the screenshot below for additional guidance.

Lastly, for the screen in the New Jersey return that asks, Did you earn income in New Jersey while living in a different state?, answer no. Answering yes will populate the nonresident return which is not needed in your situation.