No I didn't step foot in NY.

If you never lived in or physically worked in NY, and you never telecommuted for an NY-based employer, and you had no other NY-source income (such as rental income from a property located in NY), then you don't have to file an NY tax return.  Location of your employer's home office is irrelevant, unless you're a telecommuter.

but how do I retrieve the NY state taxes of $621?

I got a W2 that says I made $55000 state and PA withheld $1107 and another W2 that says I made $55000 and NY withheld $621.  But federally my gross was $55000.

Unfortunately, you'll have to file a non-resident NY tax return, showing zero NY income, in order to obtain a refund of the incorrectly withheld NY taxes.  If the only difference in the W-2's is that one shows the PA withholding and the other shows the NY withholding, enter them as a single W-2, but enter the information for both states.

Do I have to say I made money in other states on the PA one?  thanks so much for helping me

When I file the non resident NY and put zero for income it won't let me efile.  Do I just print it out and send it in?  With this cause me to be audited? And for the PA one should I say I made money in NY if I'm filing that one separate?

I guess you'll have to mail it in if the system won't let you e-file.  If your W-2 shows NY income, you might want to include a note explaining that you never actually worked in New York State, nor are you a telecommuter for an NY employer, and thus NY taxes should not have been withheld.  On the PA return I would not say that you made money in NY, since in fact you didn't.  

Perfect,  I really can't thank you enough.