Jay is a police officer with the NYPD and is partnered with Max Reyes. The two are really good friends, and Jay is one of the few people to become Red Sonja's allies while Sonja was in the present day.
Major Story Arcs
Jay was on duty when the call came in about a naked woman wielding a sword, and so she picked up her partner Max and the two arrived on the scene where several other officers were already there. After Max was able to de-escalate the situation as he was the only one who understood the woman, the woman was placed in the back of Jay's patrol car, and Jay drove them to Elmhurst Hospital Center, where they dropped off the woman who had revealed herself to be called Sonja.
Eventually Sonja escaped the hospital and had been spotted wondering the streets of New York, so Jay had informed Max so he may deal with Sonja.