I work in PA and live in NJ, but my employer did not withhold either state tax. Do I need to file in both NJ & PA?

Did you get a W-2, or is your "employer" treating you as a contractor? If you got a W-2, and you have no other income from Pennsylvania, you only have to file in New Jersey because of the reciprocal agreement between New Jersey and Pennsylvania.

If you got a 1099-NEC or 1099-MISC, or no tax form, you are not an employee and the company that paid you is not your employer. You are in business for yourself and they are your client. In that case you have to file in both states. Any money that you made in Pennsylvania, other than wages on a W-2, is subject to Pennsylvania tax. Since you live in New Jersey, all of your income is subject to New Jersey tax, no matter where the income is from. On your New Jersey tax return you will get a credit for part or all of the tax that you pay to Pennsylvania.