If your paycheck is earned from a New York State enterprise, then it is subject to NYS taxes. It is a lower, "non-resident" income tax. In other words Rush is getting paid by a NYS company.
It's like when US citizens work over seas, and the employer is from the states, they pay Federal Income tax.
(I'm 95% sure about this)
Long story short, NY is the most inhospitable state to live in right now, politically and economically speaking. They have stolen the title from CA, and will be reaping the "rewards" of this dubious distinction for many years to come.
Rush, as always, is right.