Your statement is not necessarily true, for instance, it is well known that, for each irrational number $x,$ (and in fact $x$ need not be irrational) there exists some rational sequence $\{r_n\}=\{a_n/b_n\}$ ($a_n,b_n\in\mathbb Z$) converging to $x$ and so you can conveniently modify each term of $\{r_n\}$ in such a way that $b_k<0$ for all $k.$ However, the fact that (in your particular case) $\lim\limits_{j\to\infty}|\beta_j|=+\infty$ is true and in fact you can replace the $\alpha$ in your statement for any real number $x$ and add an "additional" condition, which is $a_j\neq x,\;\forall j.$
Now let me help you in the proof that $\lim\limits_{j\to\infty}|\beta_j|=+\infty.$
Suposse, for the sake of contradiction, that $|\beta_j|\not\to+\infty.$ This means that there is some real number $M$ such that no matter how big $N\in\mathbb N$ is, you will always find some natural $n>N$ such that $|\beta_n|<M.$ Therefore, since the sequence $\{|\beta_j|\}$ is of positive integers, it must have a constant subsequence $\left\{|\beta_{j_k}|\right\}=\{b\}.$ Thus, since $\{a_j\}$ converges to $\alpha,$ then $\left\{a_{j_k}\right\}$ converges to $\alpha$ as well and hence $\left\{\alpha_{j_k}\right\}$ converges to $b\alpha$ and it follows that since the subsequence $\left\{\alpha_{j_k}\right\}$ of $\{\alpha_j\}$ is of integers, it must be eventually constant, that is, there is some $a\in\mathbb Z$ such that $\alpha_{j_k}=a$ for sufficiently large $k.$ Thus $a=b\alpha$ and hence $\alpha=a/b,$ which contradicts the fact that $\alpha$ is irrational. Thus $\lim\limits_{j\to\infty}|\beta_j|=+\infty.$