Jack of All Trades, Master of None, that is Jenny.
Her stats, straight 3's across the board, make this Dilettante okay at many things, but not incredibly likely to succeed at higher difficulties if she doesn't have something to support her. However, on Easy or Normal she's just one Magnifying Glass away from being a pretty good investigator, especially if she can also grab a Flashlight for those high-shroud locations.
In combat, Jenny is again decent but by no means a powerhouse. Her Jenny's Twin .45s signature card gives her a nice offensive boost, as 5 deals with most non-elites okay. She also has access to the Rogue card pool, so evading is a natural choice. With someone like a Cat Burglar watching her back, she can evade most monsters for quite a while.
The simple truth is that Jenny needs assets and other support cards to help her make skill checks because you simply can't rely on a 3 to carry you very far. However, Jenny has a major advantage in this regard: she gains double the resources everyone else does during the Upkeep phase.
Which, for example, means she can afford to buy a number of high-cost assets, and still put money into her Streetwise when she needs to make a check. In addition, Leo De Luca is a great Rogue Card that rivals the most expensive card in the game. Most players who can play Leo do so, but always have to make a bit of a sour face when they realize just how much money he costs. Jenny knows she'll have more money shortly, so plays Leo gladly.
A brief mention of Jenny's signature weakness, Searching for Izzie. It depends entirely on when it's drawn. Early in a scenario, it'll probably be fine, but if drawn near the end you are taking that trauma.
So, how does Jenny compare to the other Rogues?
"Skids" O'Toole has higher , which is of course great for a Rogue. However, his lower and lower sanity means Skids has a tendency to get defeated by sanity damage. I think the ability of Skids to get an extra action is really powerful, but so far it's only come up occasionally because it costs two resources. I think I prefer Jenny's for reliability.
Sefina Rousseau is interesting because she's very unlike the rest. Her ability requires loading up on events, and most of her unique abilities allow you to draw more cards. As far as her statline goes, she's much more capable of taking sanity loss, but beware of physical damage with this one.
- Finn Edwards seems like he would play the same as Skids in a ton of situations: he gives extra actions and has terrible willpower. As long as you can dodge certain encounter deck cards, you'll probably be fine.
In conclusion: Jenny has a rather different playstyle than any of the other Rogues. She does remind me a bit of the playstyle of certain Mystics, where once you have all your spells (or assets in the case of Jenny) you will perform great, but until then you are hurting.