Since you lived in both NJ and PA in 2020, you would normally have to file part-year returns in both states, if you have enough income to meet the filing requirements.
PA - "Every resident, part-year resident or nonresident individual must file a Pennsylvania Income Tax Return (PA-40) when he or she realizes income generating $1 or more in tax, even if no tax is due." PA Filing Requirements You may have to go through the PA return to see if your income is enough to generate that $1 or more in tax. If it doesn't, then don't file the return.
NJ - You have to file a return if your income was more than $10,000 (single) or $20,000 (if married filing jointly) Instructions for NJ-1040
