OK, that is causing the problem. Mobile Joomla templates are not administered in the same way as other Joomla templates.
There are two places that you can administer them.
Components > Mobile Joomla > Settings
Then on the 4 types of mobile html you select the template name. The defaults are usually OK. It is selectable here in case you want to create your own template based on the default so your changes to the template do not get lost when you upgrade MJ.
The other place the templates are referred to is in modules. If you want a module to appear on each of the templates, then you either need to choose a common position such as mj_all_footer or have 4 copies of the module each with a unique position in a template suitable for the phone.
So what to do about the problem you described?
extensions > template manager >
mobile_pda
menu assignment
menus *none
save
then
menu assignment
menus select from list *
save
(Do not select any from the list before you save, in other words no menu items are assigned.)
If this does not work, then I suggest you uninstall MJ and reinstall it and do not assign the templates.
Hope that helps.