You would have to file a non-resident return in the state where you are working and pay tax in that state since that is where the income is sourced. Your employer would withhold state tax in the state where you work, not where you live.
Fortunately, I've never paid a dime of income tax to ANY state in my life since I have only worked (and lived) in Texas and we have no state income tax. Get a job down here if you don't want to pay state income tax.
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