You have to have New Jersey tax withheld. You will be paying most of your tax to New Jersey. You will get a credit on your New York resident tax return for the tax that you pay to New Jersey.
Form W-4 is a federal form. If you are using an actual IRS Form W-4 there is no place on the form for state tax. You fill out a separate Form NJ-W4 for New Jersey. Your employer might have made up their own form that includes both federal and state.
