You do need to sit down and have a conversation with J. Maybe someplace neutral, like a coffee shop, the park, etc. As long as you are paying your share of the bills, she has no business getting on your case about your spending. It is very possible that she is resenting lending M money only to watch her not be frugal in her spending and is transferring all that to you as an extension of her frustration with M. Not exactly fair and she should be called on it. In a polite way of course, "Hey, please don't take your frustration with M and HER finances out on me, I have nothing to do with it".
Do you pay the rent to M, J or the landlord? If you are paying M and leaving it to her to forward everything, that's probably not a great idea in this situation. It sounds like she might be afraid that she will end up having to support 2 people, because all she really knows is that you are also unemployed and looking for work. Relieve her fears about your financial situation. Ask her if you guys can come to an understanding and what would make the whole living situation run smoother.