State tax filing

That is correct my friend. I went through that situation two years back. You will be double taxed. The only way around it is: you have to fit all the requirements of remote workers by NY standards, by approved by your company to be fully remote and not work a single day in NY (because if you do then your W2 will list all your income under NYS, another weird NYS requirement for W2). If you fit all of the above reqs then you do part time resident return for NYS and state how many days in a year you worked in NYS and the rest you list under IL which should match your IL W2.