It's not clear what your employer means by your being employed "out of" Massachusetts or New Jersey. I sense that the employer might be confused about how to handle a remote employee who works in a state where they do not have an office. Since you are working in Wisconsin, your paychecks and your W-2 should not show any Massachusetts or New Jersey income, and there should be no tax withheld for either state. The employer's payroll records should not show you being in either state. If the employer wants to associate you with their Massachusetts or New Jersey location for some other internal recordkeeping purpose, that should have no effect on your paychecks or tax withholding, your W-2, or your tax return.
Having an employee in Wisconsin might have tax implications for the company. That is basically their problem, not yours. But it might affect whether they are able to withhold Wisconsin tax from your pay. If they don't, as TomD8 indicated, you will have to make estimated tax payments to Wisconsin.
