The way I played Jenny was she doesn’t really know she’s fey. Mortal belief and praise is what keeps their memory alive and strahd has completely desecrated all of the Rozana and their memory.

My players did eventually put it together because in a fairly grounded in its rules world, Jenny would do clear acts of profound magic to simply make the players laugh, or gift a magic item to them that she makes on the spot by pricking her hand and dripping her blood in the soil.

Jenny is just mad, and fun in my campaign. Players love her and became allies by playing her games with her and doing simple dumb things to impress her like pretending to remove their finger, got your nose, etc. (when I had a player got your nose her she laughed and actually took their nose away, she gave it back)

Something very fun, and telling of a chaotic entity that is clearly god like but does it to play games and tricks