Ah yes, reciprocity. In that case, the theory would be that the you owe the state a return and a tax, but because of a side agreement based on the numbers of people who cross borders to go to work, the state waives its right. Here is what PA says:
Nonresidents of Pennsylvania. PA law taxes the income you earn, receive and realize from PA sources.
Reciprocal Compensation Agreement States
Pennsylvania has agreements with Indiana, Maryland, New Jersey, Ohio, Virginia, and West Virginia. Generally, under these agreements, one state will not tax a resident of the other state on compensation that is subject to employer withholding.
If you are a resident of a reciprocal state working in Pennsylvania and your employer withheld PA income tax, you may request a refund of the PA tax. You report zero taxable compensation on Line 1a, and the PA tax withheld on Line 13.
If you live in NY and work in PA, you pay. It is also true that
Nonresidents do not pay PA income tax on gains realized on the sale, exchange or disposition of intangible personal property, such as stocks and bonds, nor may nonresidents use the loss from such sales against other taxable gains.
To the OP: I believe that you follow the instructions. What do the MA instructions say? I know you quote the word "reportable," but if you forget where you bought the coin and where you sold it, would you report it on your return? Do the instructions exclude items bought and sold in other states? I doubt that MA excludes those sales. You buy and sell shares at Vanguard in PA but you still pay MA tax on your capital gains, don't you?