Has the employer been withholding PA tax from your paychecks? Or are they withholding for MA? If they withheld tax for PA, you will need to file a non-resident tax return for PA to get a refund, since you do not live or work IN Pennsylvania. You live and work in MA, so that is where you pay state tax. Prepare a non-resident return first, then prepare the return for the state you live in.
The answer to your question is "It depends."
Pennsylvania, like a few other states, has a "convenience of the employer" rule for taxation of non-resident remote workers. Basically the rule is that if you are working from another state for your own convenience, rather than for that of your employer, then your income is taxable by Pennsylvania. Here is the wording of PA's rule:
"Pennsylvania, like many other states, follows the “convenience-of-the-employer” doctrine. It provides that compensation for services performed by nonresidents cannot be allocated to the services’ actual places of performance if they were performed there only for the employee’s convenience or if they were not performed there “of necessity in the service of the employer”."
Bottom line: if you're working remotely for your own convenience, your work income is taxable by both states. (It is taxable by MA because MA taxes all the income of its residents, regardless of the income's source.) In this situation you'd be able to claim a credit on your MA return for the taxes paid to PA on the income taxed by both, so in effect you wouldn't be double-taxed. But you would have to file a return in both states.
If you do have to file in both states, then in TurboTax be sure to complete the non-resident return first, before the home state return, so that the problem can calculate and apply the credit.
Why can’t they just not tax me in Pa? On the website for PA It says non residents who generate income in the state where they work and live employers do not have to withhold taxes from the state they are in business. This is confusing but PA DOR says this:
A non-resident employee who is required to telework full-time from home in another state should treat his compensation as non-Pennsylvania source income even if his employer is located in Pennsylvania. In those situations, the employer is not required to withhold on the employee's compensation.
The paragraph that you quoted from the PA DOR web site is about someone who is required (by the employer) to work remotely from another state. You have not clarified why you are working in Massachusetts. Is it because your employer requires you to do that, or is it because you prefer to live in MA and you don't want to move to PA? If it's because of your own preference, then what you quoted from the PA DOR web site does not apply to your situation.