Yes, California treats an HSA as a regular investment account, so you have to report all interest, dividends, and capital gains (if any) in the account on your California return.
Since only two states do not allow the tax-advantaged status of the HSA, most of the customer support people at a company like Fidelity may not even know what you are talking about when you call them about taxable interest in an HSA.
You may be lucky and have only interest amounts on your HSA statements. If so, just add them up (or look to the last one to see if there is a summary) and report that on your CA return. Some banks and institutions allow you to invest in stocks and mutual funds once your account gets over a certain size, so those accounts might have dividends and capital gains.
If your online account at Fidelity doesn't show this, then you will need to call someone at Fidelity and ask for a supervisor who is familiar with how California and New Jersey handle HSA acounts - there's got to be someone there who knows this.
