Go back into the Personal Info section, find the page that asks if you earned income in another state, READ the directions.  PA and NJ are reciprocal states.  So you should answer NO per the directions on that page.

You would only need to file a PA non-resident return if PA state income taxes were mistakenly withheld from your wages.  Do not confuse this tax with the Philadelphia Wage tax that you are required to pay but can but used on your NJ return as "taxes paid to another state".