It took a few searches (!), but yes - they are brothers:
Lawsuit With Brother
In 2009 Jay was sued by his brother Jim Grdina. The lawsuit stemmed from Jay and Jenna's 2003 attempt to buy Penthouse Magazine. Jim reportedly initially loaned Jay and Jenna $250,000 to buy Penthouse. When the deal fell through he was only paid back $125,000. Jim then reportedly loaned his brother $275,000 in 2006 which was not paid back. Jim also alleged that he was a partner in Jenna's website ClubJenna and did not receive his share of the proceeds when the business was sold to Playboy.
Interestingly, Jay's brother Jim ALSO has an adult-film connection. Jim married adult film star
Bibi Jones in 2014 and they have several children together.