There are many different theories about the origin of the Jersey Devil, some more commonly accepted then others. Some of the oldest mentions that are believed to be about the Jersey Devil date back several centuries to the native Americans who would call the woodlands "Popuessing" meaning "Place of Dragon".
One of the more popular theories says that the Jersey Devil is the 13th child of a witch impregnated by the devil in the early 1700's, he would be born as a normal baby but soon after his birth his head transformed into a goat head and he grew a forked tail, then he would sprout wings and fly out the chimney. Other similar stories say that the woman cried out that the devil could have her child during birth after which the baby would transform and kill it's mother before flying out.
Despite whatever story is the most popular the fact remains that the Jersey Devil has many different origin story theories of which none can be directly proven.
The Wolf Amoung Us
The Jersey Devil appears in the game serving as muscle for the Crooked Man.