It depends. There are instances where you can file a federal return jointly and your state returns separately, but each state has their own requirements for how to file. You may want to file the NJ return jointly since you both live there and will be required to file as residents. But you certainly can both file a separate NJ return.
For NY, though, here are the requirements for when both spouses live outside the state and one works in the state:
If you filed a joint federal return and: 1) both spouses are nonresidents but only one has New York source income, or 2) one spouse is a part-year resident and the other is a nonresident with no New York source income, you must file a joint New York State return using filing status and include in the Federal amount column the joint income as reported on your federal income tax return. However, only the spouse with New York source income (or the part-year resident spouse) should sign Form IT-203. That spouse must also complete Form IT-203-C, Nonresident or Part-Year Resident Spouse’s Certification (see Other forms you may have to file), and submit it with your Form IT-203. In this case, any refund or notice of tax, penalty, or interest due will be issued only in the name of the spouse required to sign Form IT-203. https://www.tax.ny.gov/pdf/current_forms/it/it203i.pdf
The non-resident return should be created first in order to reflect the income and taxes paid in NY on the NJ return. Here is information on filing a non-resident return:
https://ttlc.intuit.com/replies/3302052
Plus, here is more information and tips if you are going to file your federal return jointly and any of your state returns separately.
https://ttlc.intuit.com/replies/3301995
[Edited 3/30/18|10:09 pm]
