If I live in Tennessee and work remotely for a company in Pennsylvania and got PA taxes taken out with each pay check, why do I not get any refund?

Pennsylvania taxes telecommuters.  If you work outside the state as a job requirement, you are only subject to PA State income tax on the days you work in PA. But if you work outside PA for your own convenience, you are subject to PA income tax on all your PA source income. New York, Nebraska, Delaware and Arkansas have the same rule.  

This Pennsylvania Department of Revenue website addresses Pennsylvania's ruling on telecommuting.  It states:

If your employment agreement provides the employee with a physical workspace at the employer’s Pennsylvania location and the employee elects to perform their work outside of Pennsylvania, then the income for that employee is allocated to Pennsylvania.

I do not know whether you have an employment agreement or what the employment agreement says, but it sounds like Pennsylvania state income tax has been withheld on your W-2.

If 

• Your employment agreement allows you to work in Tennessee and not pay Pennsylvania state income tax, and
• You are a full-year resident of Tennessee, and 
• You file a nonresident Pennsylvania state income tax return, and 
• You claim no income earned in Pennsylvania on your nonresident Pennsylvania state income tax return, 

You may receive a refund of Pennsylvania state income taxes for the time that you worked in Tennessee.

As an example, you worked 52 weeks x 5 days per week = 260 days of employment.  

If you worked only two weeks in Pennsylvania for training purposes, you would report 10 days / 260 days or 3.85% of your pay as Pennsylvania income.  

Be prepared to justify your Pennsylvania nonresident state income tax return if Revenue questions your tax return.