I live in PA, may work out of my home office in PA for an employer who is located in NY. Since I am working out of my home is this considered working in PA or NY as the employer is in NY? IE. Do I need to be concerned with both PA and NY state income taxes?

What matters is where you live and where you work. If you are physically present in PA when working for this company then your wages are considered to be PA-source income. No need to be concerned about paying NY State income tax on these wages. It does not matter that your employer is located in NY.

Be sure to ask your employer to withhold PA income tax - not NY income tax - from your pay check.