I live in NJ and work in Philadelphia. I am getting tax credit for my NJ return but it does not fully cover the Philadelphia city tax that I paid.

I put in my double-taxed income and tax paid to Philadelphia(2592$) in my NJ state return and I get enough tax credit to cover my NJ state return($1,738). My question is what happens to the rest of the Philadelphia city tax that I paid? Shouldnt I be getting that back as a refund? Turbotax is not showing that I am receiving any refund. 

Also, would I need to file for both NJ and PA in this case, or just NJ?