Well, except for maybe THAT one... so anyway, like any intelligent young lady sitting at work thinking about naked people, naked birds and just being naked I turned to Google. After sifting through piles of junk I came across one intelligent answer by Michael Sheehan from Cedar, Michigan, USA. It seems that he had done his own junk sifting and came across two plausible answers:
(1) In 19th century America, jay was slang for a hick, a simpleton, a gullible person. In that case, naked as a jay would refer to a completely vulnerable person, not to a bird. And we have another vestige of that meaning: to jaywalk. This referred to country bumpkins wandering around gawking at tall buildings and paying no attention to traffic signals.
(2) All perching birds, including jays, are born with hardly any down at all, making them quite helpless.
So with both that and the whole Jay Walking thing figured out (bonus points there!) I think we can all continue on with our days satisfied and happy as clams!
image borrowed from Doodle Diner
Answers borrowed from Wordmail: Naked as a Jay Bird