No. Just PA.
New Jersey and Pennsylvania have reciprocity. So, you should only have had taxes withheld for the state of Pennsylvania. You may have had some employment taxes withheld by NJ (unemployment, family leave), but you should not have had NJ income taxes taken out.
You would not file a New Jersey tax return in your situation. You would only file one if you had NJ taxes withheld in error, or if you had NJ income not covered by reciprocity, such as a rental property or a small business.
