You will still need to file a Pennsylvania part-year return.
Your employer did not withhold any state tax for PA but you still need to file the return.
When you say that you received two W-2s, did you change employers or did your employer just do two part-year W-2s?
Note that you will owe NY tax on that one month of commuting to NY, but PA should give you a credit for the amount of tax paid.
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