Unemployment is taxable in New York.
As a nonresident, you must file a return if "You are a nonresident with New York source income and your New York adjusted gross income Federal amount column (Form IT-203, line 31) exceeds your New York standard deduction."
It depends, if you would file, you may end up having $0 in tax liability, if so, there would not be a penalty.
What you could do is just prepare the return to see if or how much you would owe. If you don't owe anything, then you would be fine not to file a return.