I moved to Ohio last year but still work in PA. I never changed my address with my employer and they sent the taxes to the state of PA instead of OH. Anything i can do?

Yes. File in both states and split your income by the dates of residency.

Enter Pennsylvania first since you began the year in Pennsylvania. Then, enter Ohio since you were living there December 31.

Your employer should recognize you as living in "a reciprocal state." They need to have Form REV-419 on file so this does not happen going forward.

First notify your employer to switch to OH withholding for the future.  For 2020, you fall under the reciprocal agreement and no PA taxes are due.

The reciprocal rule does not apply to 2019 because you were not a full year OH resident.  So, actually the PA withholding was correct, for 2019.  You file a part year resident return for both OH & PA.  You declare all your PA wages on the PA return* (because they were earned there) plus whatever other income you received while a resident (interest etc.). On your OH part year resident return, you declare only the wages you earned after the move (plus other income received after becoming a resident).  You then claim a credit for the PA tax paid on the wages after the move.

*You do NOT  split your WAGE income by the dates of residency.  You do split any other income that way.