jam - informal (in jazz or blues) improvise with other musicians.

jam session is just the noun of improving with other musicians (in jazz or blues) , session is just a period devoted to a particular activity

Of course it would also implicate "dance". It's American slang.

I can't imagine "jam" being used for classical music, or stuff like that. Mostly the type of music you heard at Tyra's clip. The dictionary only said jazz or blues.