It depends. NJ and PA are reciprocal states and agree that you are taxed where you live, not where you work. You should not have to file a NJ return, unless NJ income tax was mistakenly withheld. If this is not the case, make sure you answer no to the question if you worked in another state besides PA. You are not considered to work in NJ because of the reciprocal agreement.
In addition, if you accidentally started the NJ return, you may delete it. Please see the following FAQ for more information: https://ttlc.intuit.com/replies/3301384
However, if NJ tax was mistakenly withheld, you will file a NJ nonresident reciprocal return to have the taxes returned to you.