"Jenny, where is the luggage?"
Translation:Дженни, где багаж?
That's because native English speakers like us think that "j" is a single sound, when in fact it is two, "d" + "zh". Listen carefully and you'll be able to hear the "d" at the start. Compare "ej" with "edge". They should sound identical to you. The letters "ge" in this word are pronounced "zh".
If the [dʒ] sound existed in Russian, the Russians probably would describe it as a voiced counterpart for «ч» (as «г» is a voiced counterpart for «к», for example), and treat it as a single sound too. But there is no [dʒ] in Russian, so we have to use [d]+[ʐ] instead — «дж».