Let $a_p$ be a square root of $a$ modulo $p$, and let $a_q$ be a square root of $a$ modulo $q$. The four square roots are given by numbers $x,y,z,w$ such that:
1. $x \equiv a_p \pmod{p}$ and $x \equiv a_q \pmod{q}$.
2. $y \equiv a_p \pmod{p}$ and $y \equiv -a_q \pmod{q}$.
3. $z \equiv -a_p \pmod{p}$ and $z \equiv a_q \pmod{q}$.
4. $w \equiv -a_p \pmod{p}$ and $w \equiv -a_q \pmod{q}$.
If you look at $x-y$, for example, then you find that $x-y \equiv 0 \pmod{p}$ and $x-y \equiv 2a_q \pmod{q}$. This means that $x-y$ is divisible by $p$ but not by $q$, and so $\mathrm{gcd}(x-y,n) = p$.