First be clear as to whether your son is considered a resident of NC for tax purposes. Your notion of “legal residence” isn’t necessarily controlling. From a quick look at the last year’s instructions for NC Form D-400, which appears to be the latest available as of this posting, it sounds like you’re okay if he maintains a home elsewhere and is in NC only for school (and hasn’t claimed resident status for tuition purposes). If you’re using “legal residence” to mean nothing more than a place where he receives important mail, that’s another story.
If he’s a nonresident of NC, then kaneohe gave the right info. Prepare the NC tax return first, with careful attention to how that goes for nonresidents. The investment income shouldn’t be taxable on that return, but it may have to be included on the return to determine the tax rate that applies to the earned income.
If NC can claim him as a resident for tax purposes, then they’ll tax his investment income also. Because states use different criteria for determining whether you’re a resident for tax purposes, you would still have to make sure he isn’t also considered a resident of PA.