Dear Dogster, Dave and friends,
As long as we’re swapping internet posts in support of the answer to this question, well, here’s mine: I found the following at the “The Word Doctor”.
Back in the 1800's, country bumpkins visiting the city were called "jays"
probably because bluejays are loud, brightly-colored and not-very-bright
birds. Now, before the bluejay lobby gets on my tail about that
characterization, allow me to point out that "jay" has been used as a
synonym for "simpleton" since the 1500's, so it's a bit late to protest. In
any case, these out-of-town "jays" were famous for being clueless. They
wandered all over the city, gawked at the big buildings, bought the 19th
century equivalent of "Cats" t-shirts, and blundered right into traffic
whenever they felt like crossing the street. By the early 1900's, paying no
attention to traffic signals or crosswalks was known as "jaywalking."
I distictly remember hearing the "jay" = country bumpkin explaination from at least one other source. Seems good to me.