You debug SQLJ code by debugging the SQLJ source directly, not the generated Java code.
SQLJ is debugged in JDeveloper in the same manner as other source code.
For more information, see Performance and Debugging in the Oracle9i SQLJ Developer's Guide and Reference. This document is available online at the Oracle Technology Network (OTN) website, at otn.oracle.com/docs/products/oracle9i/content.html.
Debugging a Project in JDeveloper
Embedding SQL in Java Programs with SQLJ