If you are in desktop you could change the status on the NY information worksheet. Married filing separately will generally increase your liability to NY. However, you will be getting a credit on your NJ return for taxes paid to NY. Ending up virtually in the same place.

Additionally NY does not tax non resident interest, dividends or Capital Gains unless earned in NY.

Thanks. based on another post here, I just looked through IT-203 instructions. It says that if both couple are non-resident and only one has NY income, then they have to file a joint return in NY.