Firstly, you must understand that MQ is a very broad term. MQ actually stands for Message Queue typically talked about in the context of message-oriented middleware (MOM). There are many proprietary implementations of message queuing systems like IBM Websphere MQ (or just IBM MQ), Amazon Simple Queue Service, Oracle Advanced Queuing. Now when you see MQ in Pega, it actually means IBM MQ. JMS on the other hand is a Java standard. Though both the proprietary versions and the Java standard serve the same purpose of asynchronous, reliable communication, the structure and semantics of the actual message and also the steps to configure your system varies based on what MOM you use. There is no definite "pick this over the other" answer here because it all depends on your business case. You first need to ask yourself these questions:
What do you need MOM for?
Most likely, there will be atleast two systems involved in this communication process. So what role does your system play and what standard does the other system support? If the other system can only talk to IBM MQ, you obviously cannot send standard JMS messages.
In other words, if your system is communicating with a 3rd party system which you have no control over, then you both need to stick to one version. If you have control over both the systems, then pick JMS for interoperability.