I left AZ in March stayed with friends in NJ for 5 weeks while working in PA. I signed a lease in April in PA and continued working there. Do I need returns for AZ,NJ,PA?

Q. Do I need returns for AZ,NJ,PA?

A. AZ & PA.

You will file as a part year resident of both AZ and PA. You do not to file NJ, because you were only there temporarily and do not earn income there. Technically, the income earned during the  5 weeks in NJ is subject to tax by both PA and AZ.  PA because it was earned there, AZ because it was earned while you were still an AZ resident. AZ will give you a credit, for the tax paid to PA on that 5 week income. 

A case could be made that you were a NJ resident for those 5 weeks. But, I'd consider that an unnecessary complication.  NJ & PA are reciprocal states.