I'm not sure of the New York rules, but I am sure of the rules for the following 2 states:
1. If you hit a winning Massachusetts lottery ticket, you need to pay taxes to the Commonwealth of Mass, no matter where you live, and
2. If you are on a game show in California, and win money, the State of California will tax you on your winnings.
Since every state, including New York, is aggressively trying to collect every dime of taxes they they possibly can, I would assume that New York would be looking for you to pay taxes to them on this income. Have you gone to the New York Dept of Revenue's website to try to find this answer?
If you determine that you need to pay taxes to NY on this income, you must first report this income to NY on a non-resident tax return, IT-203. You then take a credit for the taxes paid to NY on your PA return, to offset the taxes you will also report to PA on this income, since as a resident of PA, you're required to report all your income to them. This is the only way to avoid paying taxes to more than one state on this income.
Congratulations on winning this money, and good luck navigating through the state tax rules.