If I win the lottery in pa. but live in md. Who state taxes do I have to pay? Or do I have to pay both states

Since lottery winnings are considered income, my guess is that you'd pay taxes to Md. If taxes are withheld from your winnings by Pa. you should be able to get those reimbursed in exchange for paying the appropriate Md. Tax.

You will be taxed in Maryland, the source of the income. As a resident of PA, you are taxed on all income, but will be allowed a credit for the Maryland taxes paid.