Hi! Guy who's done tax returns for professional hockey players here.
A pro athlete does not pay taxes in the same way that you, a person working a job in the same city every single day, does.
Hockey players pay taxes based on whatever jurisdiction they are in for that proportion of their salary. So, if you go on a quick road trip to play the Rangers and Islanders, you pay tax on the equivalent of 2-3 days of your salary in the state of NY.