Ignore the addresses on your pay stub and W-2. They have nothing to do with what state you pay tax to. If you live in Massachusetts and work in New Hampshire you pay tax only to Massachusetts. (New Hampshire has no tax on wages.) All of your income is taxed by the state that you live in, no matter where the income is from. If you worked in a state that had income tax on wages, you would have to pay tax to that state. But since you work in New Hampshire you pay tax only to the state that you live in.
Which address on your W-2 is a Maine address, the employer's address or the employee's address (your address)? If it's the employer's address it doesn't matter. It doesn't mean that that's where you work. It's just where their payroll office or main office is. If the employee's address is in Maine, that makes it look like you live in Maine. You might get a letter from Maine Revenue Services saying that you have to pay Maine tax because you are a resident of Maine. You can deal with that if and when you get such a letter. But make sure that your employer has your correct home address.
