Another angle: "Jolly Jack" could be a part of a riddle or a children's game. For example, in some riddles, a jolly jack is a stick with attached strings used for whirling, a toy. That might be a possibility. If that's the case, the "thread" could refer to the strings part of that toy.
If it's not a literary character, maybe it's a product or brand. For example, a company might have a line called "Jolly Jack Threads." Alternatively, "thread" could relate to a forum topic. Maybe the user is referring to a specific thread on a forum where someone used the name Jolly Jack. jollyjack thread
Let me check if "Jolly Jack" refers to a toy called "Jack-in-the-box," but no, that's a different concept. Alternatively, "Jack-in-the-pulpit," which is a plant. Doesn't fit either. Another angle: "Jolly Jack" could be a part