NJ return: include only the NJ wages you earned while you were a resident of CT. Do this return first.
CT return: include the portion of income you earned in NJ during your time as a CT. Include any non-wage income you had while a CT resident. Claim an Other State Credit for the taxes paid to NJ on that portion of your NJ income. Do this return second.
PA return: include all the income you earned in NJ after becoming a PA resident. In effect that portion of your NJ income is PA income, because of reciprocity. Include any non-wage income you had after the move to PA. Take no Other State Credit. Do this return last.
Your CT tax bill shouldn't be very high, due to the NJ credit.
Hope this helps!
**Answers are correct to the best of my ability but do not constitute tax or legal advice.
