Living in one state and working in another state does not make you exempt from paying tax. First of all, you are still always going to be subject to federal tax, so you cannot say on a W-4 that you are exempt. And...as already explained above, you pay tax to the state you live in. You will FIRST prepare a NON-resident state for the state you work in, and then prepare a return for the state you live in.
https://ttlc.intuit.com/questions/2895920-why-would-i-have-to-file-a-nonresident-state-return
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