I just graduated from college in MA this past May. I was living in MA, had an on-campus job at college. After graduation, I took a break for the summer, living with my parents in PA and did not work a single hour. This September, I then moved to MA and started my career. Do I still need to file for PA tax return even though I did not receive income from the state?

If you are not a resident of PA, then you don't file PA tax return. Go to PA state web site to learn about the residency requirement.