File a nonresident return with NJ to get any withholding refunded to you. 

In TurboTax follow these steps:

1.  Click My Info in left hand menu

2.  Be sure your residence states do NOT include NJ.

3.  Scroll down to "Other State Income", click Edit

4.  Add NJ as a state that you earned income in.

Then 

1.  Click State in the left hand menu

2.  Click Prepare State at top of page and Continue

3.  Start New Jersey return

4.  Be sure to zero out all income and deductions for NJ throughout the state interview.

Thank you for the reply. Can I still file a non-resident return even if my W-2 has new jersey state wages? Will I also get a refund of my NJ SUI/SDI tax? My employer told me that he cannot change my W-2

Yes, file nonresident and leave the w2 as is in the federal interview and zero out the wages in the NJ interview.