E. Cobham Brewer 18101897. Dictionary of Phrase and Fable. 1898.
Sanguinary James (A).
A sheeps head not singed. A jemmy is a sheeps head; so called from James I., who introduced into England the national Scotch dish of singed sheeps head and trotters, No real Scotch dinner is complete without a haggis, a sheeps head and trotters, and a hotch-potch (in summer), or cocky leekie (in winter).
A cocky leekie is a fowl boiled or stewed with leeks or kalei.e. salt beef and curly greens.
Gimmer (a sheep) cannot be the origin of Jemmy, as the G is always soft.