That's correct, 2 returns are needed, but you won't be double-taxed. Since you live in New York, you must report all of your wages to your state of residence. You will then be taxed on them. If you paid taxes to another state (Pennsylvania), you can take a credit for those out-of-state taxes to reduce your New York liability.
You can read more about living and working in different states here: Multiple States—Figuring What's Owed When You Live and Work in More Than One State
