Turns out that jay is late 19th century slang for naive country folk, unfamiliar with normative behavior in the urban environment. Take this quotation from a George M. Cohan play:
If you want to see the real jay delegation, The place where the real rubens dwell, just hop on a train at the Grand Central Station, Get Off when they shout, 'New Rochelle!' Oh, what a fine bunch of rubens! Oh, what a jay atmosphere! They have whiskers like hay, and imagine Broadway, Only forty-five minutes from here."