It is likely that the casino or other entity which gave you the gambling winnings had a hefty amount withheld when they gave your winnings. Since your gambling winnings are your only Ohio income, I am not surprised that you have a large refund from Ohio (of course, I am speculating on this sight unseen).
And as Irene said, any tax that you paid on the Ohio winnings (the tax assessed, not the tax withheld) will be a credit on your Pennsylvania return, which is how most states avoid the issue of double-taxation.
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