My employer applied a NYC/Yonkers resident tax but I don't live in either of those places. I'm getting a new W2 but how do I get the money back that's already been taxed?

Even when I get that new W2, I'm still going to be out of a lot of money from those taxes. How do I report the money that I've lost? Is there somewhere that I can enter both the incorrect W2 and the correct W2?