I tried a test client.   NJ Res, NY NonRes . and NYC1127. 

I was able to complete all returns.  EF center shows all 4 returns marked for efile. The only error is that you have to attach IT-203 to 1127. 

Part VI NYC-1127.  I don't see any instruction to file alone.I don't see it in Part iv EF info either

Not sure where you're finding the instruction but filing them all together should work... has in the past.