Guest on March 18 was correct. Jelly is slang for one's female sexual partner, to put it plainly. One's jelly roll.

Moonshine, of course, is 18th century English slang for gin smuggled in from Holland.
It became applied in America to illegal whiskey in the 19th c. and to homemade white lightning. Cowboys would certainly know the term.

Joke from "Army & Navy Life," October, 1906:
The judge asked the prisoner what was his Christian name. The prisoner replied "Joshua," and the judge answered, "Are you the man that made the sun shine?" and the prisoner replied, "No, sir, your Honor, I'm the one that made the moonshine."

J. E. Lighter, Historical Dictionary of American Slang," vol. 2.
Also see Frances Grose, 1785, "A Classical Dictionary of the Vulgar Tongue," London, and the OED.