Yes, that sounds right. On your New Jersey tax return you report net gambling winnings. That is your winnings minus your losses, provided that you lived outside New Jersey all year. If your net winnings are zero or less (losses were more than winnings), then on your Form NJ-1040NR, line 21, Net gambling winnings, should be zero. (You can't enter a negative amount.)
You didn't say what the New Jersey W-2G was for. New Jersey lottery prizes of $10,000 or less are tax-free and don't count as winnings. But if your Form NJ-1040NR line 21 is already zero you don't have to worry about this distinction.
