IIRC, originally NW NJ was run out of Poughkeepsie (was it with Lehigh Valley before that?). When Poughkeepsie was brought under Albany’s roof, NW NJ probably came along with it.
Population and advertiser wise, NW NJ probably has more in common with small Albany/Poughkeepsie markets than the major NYC market. It’s not as simple as just drawing a circle on a map, and given it’s insignificant nature, would likely be a nuisance to NYC management.