They share multiple exchanges.
Crossing state lines causes regulations to triple (new state, and federal), so this is what we have.
https://stewartmader.com/wp-content/uploads/Subway-NY-NJ-sca...
There was also once a proposal to have the 7 train go out to Seacaucus Junction, which would be huge for accessing the East Side for NJers.
From Newark I think it's a bus to a train station, then a train to NY Penn.
The "default" way to get from Heathrow/Gatwick/Stansted to London is a train from the terminal to the centre, typically multiple options.
The default way in the US is taxi. Massively inefficient, but a lot of people make a lot of money from it. Why have a plane load of people on a single train costing $5k, when you can have 200 taxis costing $20k, generating 4 times the GDP.
It takes 27 rather than 15 minutes to Paddington, but it's also half the price of the Heathrow Express.
It's the purple edged line: https://content.tfl.gov.uk/london-rail-and-tube-services-map...