Pegacloud runs war deployment on tomcat application server. So yes, no MDB as that requires ear deployment. But you can use JMS Listener instead. You can also use Service-REST to expose integration endpoints to other non-Pega applications. Pega also exposes stream service that can be used to process realtime messages.
I don't believe Pegacloud comes with any JMS implementation OOTB. You would have to do it yourself, like any on-prem JMS implementation (running war). For example, ActiveMQ is one of more popular open source JMS implementations. There should be no difference on-prem or Pegacloud.