Yep! If I were to spell ジェイ out in English, it would look like "Jei". Which, basically, translates to Jay. And no worries! You're questions don't annoy me whatsoever.
Not to confuse you, but here's some Jap 101.
Ignore this if ya want:
The ジ symbol stands for the hard "jee" sound.
The little ェ stands for an "eh" sound.
ジ plus the little ェ equals one symbol, ジェ, which produces a "je" sound. Make sense? (ジ + ェ = ジェ)
The イ is an English "eye" sound.
In otherwords, ジェ + イ = "Jei" or the "Jay" sound you hear in English! Tada!