From your question, I am going to assume that you worked in PA but are a NJ resident. If this is not the case, then you will have to provide some more information as to why you think you would need to file a PA return.
If your employer did NOT withhold PA taxes on your income, then you do NOT need to file a PA tax return. (This is the correct way to handle these situations since PA and NJ have a reciprocal tax agreement).
Note: If you have any local PA taxes on your W2, such as the Philadelphia Wage Tax, then you can include those taxes as an out of state tax paid to get a credit for them on your NJ tax return. There will be a question on this in the NJ program, so take your time through the program.
