I live in NJ and work in NY. My employer doesn't issue NJ W2 given no significant business in NJ. How should we determine the right wage for NJ return without W2?

If there is no separate W-2 for NJ, use the same income reported for NY. That's what I see in practice. Since you have NY-sourced income, you file a NY nonresident return. You live in NJ, you are required to file an NJ resident tax return, you can claim a tax credit for taxes paid to NY on your NJ tax return using Schedule NJ-COJ.