“Although you recently moved states, the DMV may not be aware of this. The insurance company could have reported that you canceled your Connecticut policy to the DMV without providing any further information.
As you are currently insured in Pennsylvania, you’ll want to inform the Connecticut DMV. They will most likely require that you submit your current policy declarations page, which shows your effective date of coverage as well as your Pennsylvania registration. You should reach out to them directly to find out exactly what they’ll require.
As long as your insurance didn’t lapse and you were continually covered, you should not be required to pay any fines related to your prior insurance coverage.