I never got my w-2, and the IRS can’t give me my state tax information. My employer was arrested and never sent W-2

File the Federal Return by itself if it is ready.  Since the IRS was able to provide you with a transcript of the Federal wages withheld, you can file the Federal Return now on it's own (Prepare a substitute W-2 with no state information for the Federal return).  If you are depending on the NJ withholdings to itemize, you can always claim those later if you need to through an amended return.  But if you are expecting a significant refund, file that now.  You still have time to get the state information before April 15 and file the state accurately. 

However, if time goes on and you still can't get the state withholdings, you'll need to take your best guess and fill out a substitute W-2 form for the state.  f you worked with the same employer in 2017 and have that W2, then you may have an idea how much state tax was withheld.  You may be able to estimate the amount with the deposits that were made to your bank account.  And the sub W-2 allows (and requires) you to document the efforts you made to get the information.  Then mail in (do not e-file) your NJ return.  You might not be 100% correct, but if you are close, and you have your efforts documented, they will probably be able to adjust the difference as a math error.