PA and NJ have tax reciprocity with regard to W-2 earnings. If your income from NJ consisted solely of W-2 earnings, you do not have to file an NJ tax return. Those earnings are taxable only by your home state of PA. If that's your situation, answer No in the My Info section to having income from other states.
Tax reciprocity applies only to W-2 earnings, not to any other type of income.
**Answers are correct to the best of my ability but do not constitute tax or legal advice.