Even the Adv-Cycling routes, I think have you on a train to NJ from Penn Station in NYC and then the trail goes west to PA and then north. However, there is a way I think you could take a train to Westchester Cty and go north to CT and then east to New Haven. I have ridden from NJ to Mass before, cutting through the NW corner of CT on the way back so I've only ridden through Duchess and Putnam Cty, but if you were to hit a train, it could be done. However, somebody in NYC will have better information than I, I have no idea the train schedule or even if they allow the bikes on the Metro North trains.

Jay