If you have never lived in or worked in Pennsylvania then you do not file a PA state income tax return. All of your income is reported on your Massachusetts state tax return.
Unless the PA employer is withholding PA state income taxes on your wages and reporting the withholds on your W-2 then you would have to file a nonresident PA tax return, reporting 0 PA income and the PA taxes withheld so that you will get a refund for those taxes.
