Why did I not receive a return from PA?

Since NY and PA do not have a reciprocal agreement , your PA wages are fully taxable by PA.  In prepareing your PA non-resident retturn, bue sure that only the PA wages are shown as taxable income to PA, ie, other income is not being taxed by PA.

When preparing your NY resident return, you need to declare all income, including that earned in PA.  Be sure that your NY return includes a credit for taxes paid to another state, PA, so that the PA income is not being double taxed. There should be an entry on  Line 41 of IT-201

In TurboTax, do the PA first, NY resident final.