State tax filing

Filing as a full-year resident of NY is one option, and may be your best one.  Please click on this website for additional information: Filing status - Department of Taxation and Finance - New York State.  Note this excerpt:  

In nearly all cases, you must use the same filing status that you used on your federal return. If you did not have to file a federal return, use the same filing status that you would have used if you had filed. Same-sex married couples see Personal income tax information for same-sex married couples.

The only exceptions to this rule apply to married individuals who file a joint federal return and:

• one spouse is a New York State resident and the other is a nonresident or part-year resident. In this case you must either:
• file separate New York State returns using filing status 3 (married filing separate in NY state); or
• file jointly, as if you both were New York State residents, using filing status 2 (married filing joint).

For NY, filing as full-year residents may be the best option because all of your income is taxed there regardless.  Note, however, that you want to enter in her correct NYC residency so that she is not taxed to NYC on income she received while still living in NJ (NYC only taxes you when you live there, not when you work there).  Filing jointly as residents will be simpler, and may entitle you to greater deductions/credits than if you file separate returns in New York.

For New Jersey, however, she will want to file a part-year resident return.  For New Jersey she will use the Married Filing Separate status.  See the screenshot below to have the double-reported New York income exempted from her NJ return (check on the NY box).  Her NY income earned while living in NJ is taxed in both states, but NJ will give a credit for the amount of tax she pays to NY for income earned in NY while she was still living in NJ.

Here is the NJ screenshot to assist you (and congratulations on your marriage):