Fighting game in Java
You can do a Switch Statement to reduce the else-ifs you have.

Switch(action)
{
    case "a": Switch(enemyChoice)
              {
              case 2:
                   System.out.println("oohh! and "+pName+" throws a devistating blow into Rocky!");
                   enemyHealth-=10;
                   checkHealth();
              }
              case 3:
                   System.out.println("OH! "+pName+" JUST GOT SMASHED!");
                   enemyHealth-=10;
                   checkHealth();
              }
    case b:
etc....
}


Also is there any need to check health before you take away health? you remove health, then check, then disable play. you aren't alive then die before making an action I assume.