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State tax filing
@TomD8 is correct that the income is taxable in New York. New York treats telecommuters working for a company operating in New York as if they are working inside of New York also. The fact that your company is located in Texas does not matter. They have a New York location that you work at, which creates a New York nexus, or taxing responsibility, so your income is taxable in New York if it is earned there, which New York's position is that it is.
Having said that, @mpkostek I do know that you do need to mark the NY income as "not taxable" in PA. This is so the income is not double-counted because of programming that PA requires of tax preparation software. By removing this income, it allows PA to then apply the NY taxes to be paid as a credit against PA tax, bringing PA (presumably) down to $0 and then allowing you to get a full refund of PA tax (which, of course, you will need to pay NY.
You will want your company to start withholding for NY. I can all but guarantee that if you don't file and pay NY taxes, NY will aggressively pursue your income as being taxable there. They are well-known for taking that position.
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