Check with your employer to determine if they took PA state taxes out (which they should not have). If they didn't, ask them to send you (and the IRA and state) a corrected W-2. If they did take PA taxes out, you'll have to file a PA nonresident return to get them back.
Also check you pay stubs to see if any state taxes were withheld. They should have withheld Phila City Wage tax only, but not PA nor NJ.
NJ Division of Taxation - Income Tax - Credit for Taxes Paid to Other Jurisdictions (state.nj.us)
