Heh. That is tough. Who do you ask first to get the relationship started? If Jay is not interested then asking him first would mean you don't have to deal with any issues with your fiance. However, it may be good to go ahead and let your fiance know how you feel about Jay. Even if it doesn't work out with Jay, he will know that you may want to have other men in the future.
You may want to let Jenn know as well your feelings. I don't know how she feels, but she could feel a little threatened by another secondary.