Jai is a pronounciation of "ใจ" in Thai language.it mean "heart". We can talk "Jai" when we talk about heart or we want to thank you someone(by chat),because "ขอบคุณ=Kobkhun" or...
if I am assuming you mean what is usually phoneticised as "phom," it is the male regular formal word for "I." For example, if you were talking to your parents, you would, as a male, refer to yourself...