Yes, you must file a Pennsylvania nonresident return. According to the Pennsylvania Department of Revenue, Nonresident taxpayers are only taxed on their Pennsylvania-source income. Therefore, only transactions displaying net gains and losses on tangible property located within Pennsylvania are required to be reported on PA Schedule D. Examples of dispositions of property required to be reported by a nonresident include sales of rental property located in Pennsylvania.
TurboTax can handle a nonresident state return. The information from the sale of your rental property will flow from the federal return to the state return. You will need to prepare your Pennsylvania return before your New Jersey return.
Follow the directions in the TurboTax FAQ below to complete your nonresident state return,
https://ttlc.intuit.com/replies/3302052
The state of Pennsylvania allows married couples to file as married filing separately instead of jointly. You should file as married filing separately on your state return since the rental income is only in one spouse's name.
[Edited 04/10/2018 I 10:51 PM]
