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Table of Contents

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Table of Contents

Chair’s Letter
to Shareholders

Dear Shareholders,

In February, the world witnessed Russia invade Ukraine. We are now almost two months into the conflict and are beginning to see the scale of the humanitarian crisis and the economic impact caused by this event.

Given the fluidity of the situation, market uncertainty is currently elevated. Economic conditions were already challenging prior to the invasion, with inflation lingering at multi-decade highs, interest rates expected to continue rising, economic growth moderating from the post-pandemic recovery, and weakening performance across equity markets and some bond market segments. The Russia-Ukraine conflict has accelerated these trends in the short term. The spike in geopolitical risks led to surging prices for oil and other hard and soft commodities, driving both inflation and recession risks higher. The U.S. Federal Reserve (Fed) and other central banks now face an even more difficult task of slowing inflation without pulling the economy into recession. As anticipated, the Fed began the rate hiking cycle in March 2022, raising its short-term rate by 0.25% from near zero for the first time since the pandemic was declared two years ago and now signaling rate increases of 0.5% in the near future. Where the Russia-Ukraine conflict goes from here, how inflation impacts economic growth and the Fed’s response to changing economic conditions are difficult to forecast.

In the meantime, while markets will likely continue fluctuating with the daily headlines, we encourage investors to keep a long-term perspective. To learn more about how well your portfolio is aligned to your time horizon, risk tolerance and investment goals, consider reviewing it with your financial professional.

On behalf of the other members of the Nuveen Fund Board, I look forward to continuing to earn your trust in the months and years ahead.

Terence J. Toth
Chair of the Board
April 21, 2022

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Portfolio Managers’ Comments

Nuveen Arizona Quality Municipal Income Fund (NAZ)

Nuveen New Jersey Quality Municipal Income Fund (NXJ)

Nuveen Ohio Quality Municipal Income Fund (NUO)

Nuveen Pennsylvania Quality Municipal Income Fund (NQP)

These Funds feature portfolio management by Nuveen Asset Management, LLC (NAM), an affiliate of Nuveen Fund Advisors, LLC, the Funds’ investment adviser. Portfolio managers include Michael S. Hamilton for the Nuveen Arizona Quality Municipal Income Fund, Daniel J. Close, CFA, for the Nuveen Ohio Quality Municipal Income Fund and Paul L. Brennan, CFA, for the Nuveen New Jersey Quality Municipal Income Fund and Nuveen Pennsylvania Quality Municipal Income Fund.

Here the Funds’ portfolio managers review U.S. economic and municipal market conditions, key investment strategies and each Fund’s performance for the twelve-month reporting period ended February 28, 2022. For more information on each Fund’s investment objectives and policies, please refer to the Shareholder Update section at the end of the report.

What factors affected the U.S. economy and municipal markets during the twelve-month reporting period ended February 28, 2022?

The U.S. economic recovery remained on course over the twelve-month reporting period, despite setbacks from the COVID-19 virus, higher-than-expected inflation readings and increasing geopolitical tensions in Eastern Europe. Since the pandemic reached the U.S. in early 2020, the federal government has enacted $5.3 trillion in crisis-related aid and the U.S. Federal Reserve (Fed) kept borrowing rates low for businesses and individuals and kept the credit system stable while the jobs market and economy recovered from the pandemic shock. These measures, along with increasing vaccinations and improved treatments, helped the economy to reopen and activity to rebound during 2021, despite additional COVID-19 surges caused by new, more contagious variants. U.S. gross domestic product (GDP) rose at an annualized 6.9% in the fourth quarter of 2021, accelerating from 2.3% in the third quarter when the delta variant weighed on economic activity, according to the Bureau of Economic Analysis third estimate. Also according to the third estimate, GDP grew 5.7% in 2021 overall, rebounding from the contraction of -3.4% in 2020.

The return of consumer demand put upward pressure on inflation. However, as supply chains remained under stress and labor shortages continued, in part because of COVID-19 resurgences around the world, inflation appeared to be more durable than initially expected. The Fed responded by reducing its pandemic-era support programs and signaled that rate increases were likely in

This material is not intended to be a recommendation or investment advice, does not constitute a solicitation to buy, sell or hold a security or an investment strategy and is not provided in a fiduciary capacity. The information provided does not take into account the specific objectives or circumstances of any particular investor, or suggest any specific course of action. Investment decisions should be made based on an investor’s objectives and circumstances and in consultation with his or her advisors.

Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements, and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Funds disclaim any obligation to update publicly or revise any forward-looking statements or views expressed herein.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group (S&P), Moody’s Investors Service, Inc. (Moody’s) or Fitch, Inc. (Fitch). This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings, while BB, B, CCC, CC, C and D are below investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.

Bond insurance guarantees only the payment of principal and interest on the bond when due, and not the value of the bonds themselves, which will fluctuate with the bond market and the financial success of the issuer and the insurer. Insurance relates specifically to the bonds in the portfolio and not to the share prices of a Fund. No representation is made as to the insurers’ ability to meet their commitments.

Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

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Portfolio Managers’ Comments (continued)

2022 (which did materialize in March 2022, after the close of this reporting period, with a 0.25% increase in the Fed’s target interest rate). Interest rate and stock price volatility increased as markets considered whether the Fed could cool inflation without pulling the economy into recession. While some pandemic-related risks appeared to be receding, Russia’s invasion of Ukraine in late February 2022 brought forth another large-scale human tragedy with significant economic consequences. Inflation pressures rose further on anticipated supply disruptions in energy, metals and grains, downside risks to global economic growth increased, and economic sanctions from Western countries sought to block Russia’s access to the global financial system. A more uncertain inflation and economic outlook also made the path toward monetary policy normalization more uncertain for the Fed and other central banks, contributing to elevated market volatility toward the end of the reporting period.

The broad municipal market declined slightly over the twelve-month reporting period. Municipal yields rose but not uniformly across the maturity spectrum, resulting in a flatter yield curve overall but with intermediate maturities outperforming the short and long ends of the curve. Demand for municipal debt remained remarkably strong throughout 2021, but outflows followed in early 2022 as dealers reduced their inventories in the higher volatility environment. Nevertheless, credit spreads were generally stable as municipal fundamentals were strong and the municipal market remained relatively insulated from geopolitical concerns abroad.

What were the economic and market environments in Arizona, New Jersey, Ohio and Pennsylvania during the twelve-month reporting period ended February 28, 2022?

Arizona’s economy has held up better than the nation as its shutdowns were relatively shorter and less strict. Employment fell at the start of the COVID-19 crisis but has since recouped all of pandemic-related job losses. As of February 2022, Arizona’s unemployment rate was 3.6% compared with 3.8% for the nation. Gains in the housing market were supported by low interest rates and increased demand. According to the S&P CoreLogic Case-Shiller Index, housing prices in Phoenix rose 32.5% over the twelve months ended December 2021 (the most recent data available at the time this report was prepared), compared with an 18.8% price increase nationally. On June 30, 2021, Governor Ducey enacted the state’s $12.8 billion general fund Fiscal Year 2022 (July 1, 2021 to June 30, 2022) budget, which represented an 8.5% increase over the previously enacted budget. As of March 2022, S&P and Moody’s rated Arizona at AA and Aa1, respectively, with a stable outlook. Arizona municipal bond supply totaled $6.6 billion for the twelve-month period ended February 28, 2022, a 3.3% decrease from the same period a year earlier.

New Jersey’s $619 billion economy continues to recover post pandemic, with all nine major private industry sectors of the New Jersey economy adding jobs in 2021. New Jersey’s unemployment rate as of February 2022 was 4.6%, which remains above the national unemployment rate of 3.8%. The state concluded Fiscal Year 2021 with a record setting surplus, in part driven by proceeds from the state’s deficit financing bonds and better-than-anticipated tax receipts in the months of April and May. As a result in Fiscal Year 2022, the state will be able to make its first full pension contribution since 1996, while also paying down $5.0 billion in outstanding long-term debt obligations. Revised Fiscal Year 2022 revenues reflect a projected increase of $4.8 billion over the original budget, and are currently expected to grow the state’s unrestricted reserve position to $6.2 billion. Although not included in the original Fiscal Year 2022 budget, the State of New Jersey received $6.3 billion from the American Rescue Plan of 2021. Local New Jersey governments received approximately $3.5 billion. On March 31, 2022, S&P upgraded the state's BBB+ rating to A- with a "stable" outlook, while Fitch maintains an A- rating and positive outlook. Moody’s recently upgraded the state’s rating to A2 from A3 with a “stable” outlook on March 16, 2022. New Jersey municipal bond supply totaled $8.7 billion for the twelve-month period ended February 28, 2022, a 35% decrease from the same period a year earlier.

Although manufacturing in Ohio remains an integral part of the state’s economy, its greatest growth in recent years has been in the non-manufacturing sectors. The Ohio unemployment rate decreased to 4.2% in February 2022, compared to a national rate of 3.8%. According to the S&P CoreLogic Case-Shiller Index, housing prices in Cleveland rose 13.3% over the twelve months ended December 2021 (the most recent data available at the time this report was prepared), which was below the average national home price increase of 18.8% for the same period. The state ended Fiscal Year 2021 (July 1, 2020 to, June 30, 2021) with a general

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revenue fund balance of $4 billion, or 9.8% of revenues. The state benefited from higher tax revenues for the year, which were $1.54 billion above the original forecast and as well as a significant influx of federal pandemic relief funding (approximately $5.6 billion directly allocated to the state under the American Rescue Plan Act of 2021, out of a total $11.2 billion granted to the state and its eligible local governments). The Fiscal Year 2022 - 2023 (July 1, 2021 to June 30, 2023) budget is structurally balanced and reflects recent tax law changes and a conservative underlying economic forecast. The state’s conservative fiscal management has resulted in a strong financial position, with sound liquidity and reserve levels and a moderate debt burden relative to other states. As of March 2022, Moody’s and S&P rated Ohio GO debt at Aa1 and AA+, respectively, with stable outlooks. Ohio municipal bond supply totaled $10.6 billion for the twelve-month period ended February 28, 2022, a 3.4% decrease from the same period a year earlier.

Pennsylvania has the sixth-largest economy among U.S. states, based on a 2020 real GDP of $683.8 billion, and benefits from a highly diversified economy, although it has lagged the U.S. for the better part of a decade in terms of job, GDP and income growth. The unemployment rate, as of February 2022, was 5.1% for the Commonwealth, compared to 3.8% for the nation. Pennsylvania entered the COVID-19 pandemic years with a weaker financial position than most states, given its slim budget reserve and above-average debt burden. However, the state was able to transform a deficit position to a surplus of $2.6 billion in its general fund for Fiscal Year 2021 (July 1, 2020, to June 30, 2021) with the help of federal relief funding through the CARES Act and American Rescue Plan Act (ARPA). Additionally, the use of federal ARPA funds and stronger-than-expected tax collections are projected to result in a $6.5 billion surplus for Fiscal Year 2022 (July 1, 2021, to June 30, 2022). As of March 2022, Pennsylvania’s general obligation (GO) debt was rated Aa3 by Moody’s and A+ by S&P. Pennsylvania municipal bond supply totaled $17.4 billion for the twelve-month period ended February 28, 2022, a 3.8% increase from the same period a year earlier.

What key strategies were used to manage the Funds during the twelve-month reporting period ended February 28, 2022?

Each Fund’s primary investment objective is current income exempt from both regular federal income taxes and its respective state’s individual income taxes; its secondary investment objective is the enhancement of portfolio value. Each Fund uses leverage.

The Funds generally maintained their current positions, given that absolute yields seemed low and credit spreads were tight for much of the reporting period. When the Funds did make purchases, they were mainly funded with the proceeds from maturing and called bonds, although as yields rose over the last few months of the reporting period, some Funds sold some lower book yield positions at a loss to reinvest in more attractive, higher yielding bonds. The Funds continued to focus mostly on longer maturities and mid- to high-grade credit quality.

For NAZ, new purchases tended to be in the new issue market given attractive availability and relative value, and were made across a diverse group of sectors. NXJ’s and NQP’s purchases were skewed toward high- and mid-grade credit quality, based on availability and relative valuations, with some opportunistic buying among lower rated, higher yielding issues. For NXJ, sourcing new bonds was challenging in the New Jersey municipal market during this reporting period, as issuance volumes declined meaningfully from 2020 when issuance was larger than normal because of COVID-19 relief funding. NXJ’s additions were largely in the housing, tax supported, utility and education sectors while NQP added to the tax supported, housing and health care sectors. NUO’s purchases spanned a broad group of sectors in bonds with intermediate to longer maturities and mid- to high-grade credit ratings.

How did the Funds perform during the twelve-month reporting period ended February 28, 2022?

For the twelve months ended February 28, 2022, the Nuveen Arizona Quality Municipal Income Fund (NAZ) modestly outperformed the S&P Municipal Bond Arizona Index while the Nuveen Pennsylvania Quality Municipal Income Fund (NQP) outperformed the S&P Municipal Bond Pennsylvania Index. The Nuveen New Jersey Quality Municipal Income Fund (NXJ) and Nuveen Ohio Quality Municipal Income Fund (NUO) underperformed the S&P Municipal Bond New Jersey Index and the S&P Municipal Bond Ohio Index, respectively, over the twelve-month reporting period. For purposes of this Performance Commentary, references to relative performance are in comparison to each Fund’s respective state S&P Municipal Bond Index.

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Portfolio Managers’ Comments (continued)

NAZ modestly outperformed the S&P Municipal Bond Arizona Index during the reporting period led by favorable individual credit selection. A nearly 2% position in the Yavapai County Jail District, within the dedicated tax sector, was especially beneficial to relative performance. The position was purchased in May 2020, when yields were beginning to decrease from a broad market sell-off in April 2020. Partially offsetting the relative gains were bonds purchased over the last half of the reporting period as prevailing yields at the time of purchase were near cycle lows, and the bonds underperformed in the short term as yields rose. In addition, a 3% position in Salt Verde Citi Prepay Gas Contract bonds was a notable detractor from performance. This position has been a long-term holding and was purchased at highly attractive yields.

NXJ underperformed the S&P Municipal Bond New Jersey Index mainly driven by its longer duration relative to the benchmark in a period of rising interest rates. Additionally, NXJ’s exposure to housing bonds, largely issued by New Jersey Housing and Mortgage Finance Agency, detracted from relative performance. Interest rates rose over the reporting period however, they remained low by historical standards and encouraged mortgage refinancing activity, which weighed on the valuation of housing bonds. Nevertheless, the Fund maintained its position in the housing sector given the municipal investment team’s view that the long-term credit attractiveness outweighs the current market conditions. Partially offsetting the relative detractors were NXJ’s overweight to lower rated, higher yielding sectors and credits, particularly those that have rebounded from the pandemic shock. These include higher education (especially smaller, private colleges and universities that depend more on tuition than endowments), hospitals and transportation.

NQP outperformed the S&P Municipal Bond Pennsylvania Index during the reporting period. Most of NQP’s outperformance was driven by exposures to lower rated, higher yielding credits and sectors, especially overweight allocations to BBB, below investment-grade and non-rated bonds and corresponding underweights to bonds rated A and higher. NQP’s holding in Energy Harbor common stock, acquired during a restructuring, was another top contributor to relative performance. Energy Harbor’s stock price appreciated on several tailwinds, namely, strong demand for energy generation as the economy reopened, rising electricity prices, and U.S. and global governments’ focus on low carbon energy sources like nuclear power. The company’s increasing distance from the bankruptcy of its parent company was also beneficial. Partially offsetting these relative gains was the Fund’s housing exposure, primarily through Pennsylvania Housing Finance Agency. Similar to NXJ, Pennsylvania housing bonds remained under pressure given increased refinancing activity, but NQP continued to hold the position on the municipal investment team’s favorable long-term outlook.

NUO underperformed the S&P Municipal Bond Ohio Index during the reporting period, as the mixed impact of duration and yield curve positioning, including the use of leverage, offset advantageous positioning across individual credits, sectors and credit quality. NUO’s overweight to the shortest duration band detracted slightly and underweight allocations to the 2- to 6-year duration range contributed a small relative gain, while the Fund’s overall longer portfolio duration detracted as yields rose. These detractors were partially offset by a position in Energy Harbor common stock, which saw significant price appreciation during the reporting period (as detailed in NQP’s performance discussion), as well as holdings in longer dated, lower rated health care bonds that were held for the full reporting period. From a sector standpoint, underweight allocations to state and local general obligation debt drove positive results, more than compensating for the overweight to toll roads, which detracted. Across the credit quality spectrum, the largest positive contribution came from an overweight to non-rated bonds, which more than offset relative weakness from an underweight to BBB rated credit.

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Fund Leverage

IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE

One important factor impacting the returns of the Funds’ common shares relative to their comparative benchmarks was the Funds’ use of leverage through their issuance of preferred shares and/or investments in inverse floating rate securities, which represent leveraged investments in underlying bonds. The Funds use leverage because our research has shown that, over time, leveraging provides opportunities for additional income. The opportunity arises when short-term rates that a Fund pays on its leveraging instruments are lower than the interest the Fund earns on its portfolio of long-term bonds that it has bought with the proceeds of that leverage. This has been particularly true in the recent market environment where short-term rates have been low by historical standards.

However, use of leverage can expose Fund common shares to additional price volatility. When a Fund uses leverage, the Fund’s common shares will experience a greater increase in their net asset value if the municipal bonds acquired through the use of leverage increase in value, but will also experience a correspondingly larger decline in their net asset value if the bonds acquired through leverage decline in value. All this will make the shares’ total return performance more variable, over time.

In addition, common share income in levered funds will typically decrease in comparison to unlevered funds when short-term interest rates increase and increase when short-term interest rates decrease. In recent quarters, fund leverage expenses have generally tracked the overall movement of short-term tax-exempt interest rates. While fund leverage expenses are somewhat higher than their recent lows, leverage nevertheless continues to provide the opportunity for incremental common share income, particularly over longer-term periods.

Leverage from issuance of preferred shares and the use of leverage through inverse floating rate securities had a negative impact on the total return performance of NAZ, NXJ and NUO while they were positive for NQP over the reporting period.

As of February 28, 2022, the Funds’ percentages of leverage are as shown in the accompanying table.

Refer to Notes to Financial Statements, Note – 5 Fund Shares, for further details on preferred shares and each Fund’s respective transactions.

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Each Fund seeks to pay regular monthly dividends out of its net investment income at a rate that reflects its past and projected net income performance. To permit each Fund to maintain a more stable monthly dividend, the Fund may pay dividends at a rate that may be more or less than the amount of net income actually earned by the Fund during the period. Distributions to common shareholders are determined on a tax basis, which may differ from amounts recorded in the accounting records. In instances where the monthly dividend exceeds the earned net investment income, the Fund would report a negative undistributed net ordinary income. Refer to Note 6 – Income Tax Information for additional information regarding the amounts of undistributed net ordinary income and undistributed net long-term capital gains and the character of the actual distributions paid by the Fund during the period.

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All monthly dividends paid by each Fund during the current reporting period were paid from net investment income. If a portion of the Fund’s monthly distributions is sourced or comprised of elements other than net investment income, including capital gains and/or a return of capital, shareholders will be notified of those sources. For financial reporting purposes, the per share amounts of each Fund’s distributions for the reporting period are presented in this report’s Financial Highlights. For income tax purposes, distribution information for each Fund as of its most recent tax year end is presented in Note 6 – Income Tax Information within the Notes to Financial Statements of this report.

NUVEEN CLOSED-END FUND DISTRIBUTION AMOUNTS

The Nuveen Closed-End Funds’ monthly and quarterly periodic distributions to shareholders are posted on www.nuveen.com and can be found on Nuveen’s enhanced closed-end fund resource page, which is at https://www.nuveen.com/resource-center-closed-endfunds, along with other Nuveen closed-end fund product updates. To ensure timely access to the latest information, shareholders may use a subscribe function, which can be activated at this web page (https://www.nuveen.com/subscriptions).

COMMON SHARE REPURCHASES

During August 2021, the Funds’ Board of Trustees reauthorized an open-market share repurchase program, allowing each Fund to repurchase an aggregate of up to approximately 10% of its outstanding shares.

During the current reporting period, the Funds did not repurchase any of their outstanding common shares. As of February 28, 2022 (and since the inception of the Funds’ repurchase programs), each Fund has cumulatively repurchased and retired its outstanding common shares as shown in the accompanying table.

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Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.