New york state asked for copies of w2s to verify taxes withheld? Is this normal? Am I in trouble?

What is the address I send them to? They did not state where in the letter.

send them to the office where the letter came from or call the number on the notice to get the address.

You are not in trouble ... and the state can ask for anything they want.  It probably means the employer has not send in the W-3 to the state so they need to see your W-2.  Simply comply as requested asap.