The 27-year-old Newcastle-born housemate revealed his sex secret to Louise Cliffe during a discussion on the sofas.
Louise asked Jay if he ever fell for a ladyboy while on holiday in Thailand and he admitted that he had, adding: "It didn't have a willy, though."
He continued: "I didn't know until I'd done it. It was f**king hilarious. After that we purposefully went out to do one. Better looking than the women.
"No big hands or Adam's apples. F**k all that you'd expect. It's a funny story, though. All my mates did it [afterwards]."
A shocked Louise replied: "Whatever floats your boats really."
Jay, Louise, Aaron Allard-Morgan, Alex Rose and Tom O'Connell are all in with a chance of being crowned Channel 5's first Big Brother champion on Friday.
> Big Brother Jay vows: 'I'll never speak to Aaron again' - video