Do we know she has a concealed carry permit?
I just checked out her pinterest (
here), and on a board called "One Tough Mama" she does have several pins of handguns, and several more of concealed carry equipment. One of the handguns in a Ruger LCP .380, which would be a perfect choice for jogging.
And I looked into the practicality of CC while jogging, and it is very doable. You just get a smaller, lighter handgun, like the Ruger LCP, and some kind of specialized holder.
I also recall reading Sherri liked to wear a jacket while jogging so she would sweat. There could have been a 2nd reason for that jacket, as it could potentially make CC pretty much invisible.