Unfortunately, there is no federal standard that says you only have to pay taxes in one state. Each state sets it's own requirements, and if you meet the requirements of two (or even three) states, you have to pay them all.
It's not a bad idea to research the requirements for the state you are domiciled in, if you don't live there.
Also try to fly under the radar...avoid going on record with a local address, car registration, etc.
PA and CO will withhold a small amount just for being domiciled there...I don't think you can get that back. But they don't seem to to try to tax as a resident.