PA and NJ have a reciprocal agreement whereby they agree to not tax the wages of a resident of the other state. But this applies only at the state level, not local. The only reason to file a PA state return is if you had PA withholding from yor pay or if you had interest in a business or rental property that is in PA.
Philadelphia will not refund the taxes you paid while working in Philadelphia. However, you can claim a credit on your NJ resident tax return for these taxes paid to an out of state jurisdiction.
See page 42 of this document: http://www.state.nj.us/treasury/taxation/pdf/current/1040i.pdf
