JRuby provides a native thread implementation because it is built on top of the JVM. But really, using any of the above variations would have been fine.
Unfortunately, though, it’s not all clear sailing with JRuby. Quite a few gems still use C extensions (i.e. code written in C that Ruby can import). At the moment, you can enable a flag in JRuby that allows it to use C extensions, but doing so is merely a temporary solution because this option is expected to be removed from JRuby in future releases.
This could be an issue, for example, if you’re using Pry (a replacement for Ruby’s irb REPL). Pry works fine with JRuby, but you wouldn’t be able to take advantage of the equally amazing pry-plus extension, which offers many extra debugging capabilities, because some of its dependencies rely on C extensions.