Live in NJ, work in NY - got credit to avoid double taxation but got penalty for not paying NJ taxe

Hi, I live in NJ and work in NY.  I've filled out my W2s for both NJ and NY.  My employer is only withholding NY state taxes.  At the end of the year when I file my taxes, NY gave me a refund for all of the state taxes and I had to pay taxes for NJ.  However, NJ then penalized me for not paying estimated taxes throughout the year.  I've been doing this for many years and this is the first time I've gotten this penalty.  Does this sound right?  Am I supposed to fill out W2 differently to force removal for NJ state taxes from the paycheck or manually pay estimated taxes to NJ?