Yes, you must file a non-resident PA tax return in addition to your NJ tax return.
PA taxes non-residents on "PA-source" income. Lottery and gambling winnings from wagers placed in PA are PA-source income.
https://www.revenue.pa.gov/TaxTypes/NonresidentWithholding/Pages/PA-Source-Income-Rules.aspx
Your winnings are also taxed by your home state of NJ, because your resident state can tax all your income, regardless of its source.
You'll be able to claim a credit on your NJ return for the taxes paid to PA on the dollars taxed by both states, so in effect you won't be double-taxed. In TurboTax, be sure to complete the non-resident PA return before the home state NJ return, so that the program can calculate and apply the credit.
Note: PA and NJ have tax reciprocity, but the reciprocity applies only to W-2 salaries and wages.
**Answers are correct to the best of my ability but do not constitute tax or legal advice.
