I serve my entire site over https, jquery included.
The trick is to use a CDN for jQuery that supports https, or deploy the code to your own site and include it from your domain. In code, for example:
Works fine and will show up as a secure element.
Now, is that actually secure? Well, I generally trust Google APIs as a CDN and the content I have is not that crucial - however, if I wished to ensure I had total control of the jQuery deployment, I could just host it myself:
Both will work fine. Bottom line: you do not have to deploy jQuery from the CDN, however, if you want to, at least one of them supports https (others may, I looked no further).
An aside to consider - one of the reasons for accessing code from the CDN was to always have the latest version of the jQuery code. Deploying it yourself, you do lose this immediacy - you also gain a slight buffer against breaking updates, although hopefully that shouldn't be an issue.