I have this head canon that Jenny was working for the Pinkertons, and they sent her to infiltrate the Van Der Linde gang to find out what they may have been planning in Blackwater.
She just randomly appears on the side of the road to Blackwater and joins the gang undercover. Very likable and personable, she charmed the gang members and may have particularly zeroed in on a young naive Lenny to try to get some information out of him. It’s even possible she really did sleep with Micah in order to get him to start bragging about the upcoming ferry job of which he was spearheading and convinced Dutch to undertake.
Once she learned what the gang’s big plan was going to be, she passed that information onto her Pinkerton handlers. And that’s why the Pinkertons and other law enforcement were able to appear so suddenly during the gang’s heist and caught them so completely off guard.
The only question is why was Jenny herself killed in the battle? Two guesses are either it was purely accidental friendly fire that got her, or the Pinkertons double crossed and deliberately killed her to prevent Dutch from being extra suspicious of any future spies in his outfit.
All personal head canon, not a bit of this is official and can all be counter argued.