No, for this situation you should mark "No", you did not earn income in another state. This is because New Jersey and Pennsylvania have a reciprocal agreement, meaning you pay taxes to your home state, no matter that they were earned in either PA or NJ.
You should only answer "Yes" to that question if you have non-wage income, such as a gain from your NJ home sale, which remains taxable by NJ even after you move (above the exclusion which is $250,000 for a single and $500,000 for a married couple on a home that was a primary residence for at least 2 of the last 5 years).
To fix the issue you are experiencing, you likely need to delete the NJ non-resident return, verify your move dates on the NJ part-year resident return, and then only use PA Schedule G-L to claim a credit for any taxes you paid to NJ on the home sale profit (but not your wages).
Correcting the question should change the forms that are generated. You'll file a part-year resident return for each state, if you only have wages to report.
Here is more information on reciprocal states: What is a state reciprocal agreement?
