DH8 CREW HAD A GPWS WARNING IN N90 CLASS B AIRSPACE.

Narrative

WHILE ON VECTORS FOR RWY 4 AT LGA THE TERRAIN WARNING SYS BEGAN TO SOUND. WE WERE ON A 220 DEG HDG AT 3000 FT. I ASKED THE CAPT WHAT HE WANTED ME TO DO. HE TOLD ME TO CLB TO 4000 FT. I KNEW THE MSA FOR OUR AREA WAS 2800 FT SO I WAS NOT CONCERNED ABOUT TERRAIN. HOWEVER; SINCE THE CAPT TOLD ME TO CLB; I BEGAN TO DO SO. I WAS A LITTLE HESITATE TO INITIATE THE CLB KNOWING HOW BUSY THE ZNY ATC SYS IS AND DID NOT WANT TO CAUSE A TFC CONFLICT. THE CAPT WAS SIMULTANEOUSLY ASKING ATC FOR A CLB TO 4000 FT. THE CONTROLLER RESPONDED ARE YOU CRAZY? YOU WANT TO DO WHAT? AT THIS TIME I WAS AT 3200 FT; BUT BEGAN TO LEVEL AGAIN AT 3000 FT DUE TO THE CTLR'S RESPONSE AND NOT WANTING TO HAVE A TFC CONFLICT. AFTER THE CAPT EXPLAINED THAT OUR TERRAIN WARNING WAS SOUNDING; ATC GAVE US A 270 DEG HDG AND CLB TO 4000 FT. AFTER THE CAPT PULLED THE CIRCUIT BREAKER THE FLT CONTINUED WITH NO FURTHER INCIDENT. I BELIEVE THE CONFUSION RESULTED FROM MY KNOWLEDGE OF THE NORMAL VECTORING ALTS FOR KGA AND NOT WANTING TO CLB; YET ALSO NOT WANTING TO DISAGREE WITH THE CAPT'S INSTRUCTIONS TO CLB. IN THE FUTURE I SHOULD BE MORE ASSERTIVE WITH MY DISCUSSION WITH THE CAPT.