Yes jPlayer works on iOS3+
Well, it has not been tested much on that version, since iOS4 was out at the time. It was tested heavily on iOS5 beta and we provided feedback that helped Apple fix their position:fixed and other things in iOS5.
I just reviewed on my iPhone4 iOS 5.1.1 and the link worked. All the demos did I double-checked. As did iPad3 iOS 5.1.1 work.
How was you connected?
I was connected via WiFi in both cases. I have tested 3G in the past and it worked fine to.
What iOS version do you have on your phone?