Answer:
At the age of fourteen, he began working as a piano player in a brothel (or as it was referred to then, a sporting house.) While working there, he was living with his religious church-going great-grandmother and had her convinced that he worked as a night watchman in a barrel factory.
In that atmosphere he often sang smutty lyrics and it was at this time that he took the nickname "Jelly Roll" which at the time was black slang for the female genitalia.