I've been in CO for over 5 years but I say I'm from NJ if someone here asks me. If someone asks where you're from when I'm on vacation or something, I do say CO, but I kind of cringe because I still identify with the east coast culture much more than CO.

To clarify a more specific area, I would say South Jersey or "close to Philly". Claiming a city when you're not really from there is corny. Plus, you could run into someone who's like "Oh wow, I'm from South Philly! What part are you from?" and then you gotta be like "Oh actually I'm from Jersey."