This sounded like german a little bit, I love it :3
Ajn was borrowed from German "ein"! https://en.m.wiktionary.org/wiki/ajn
I'm confused about what the word "aj" is doing... can anyone explain or give other examples?
It's not "aj" but "ajn".
Adding it to a correlative gives it an "any-" meaning.
"Iu ajn povas veni" = Anyone can come.
"Mi amas ĉiujn ajn hundojn" = I love all dogs whatsoever.
Without ajn the sentence means "place it somewhere in the room"
There's some info on this Esperanto Correlatives page
Estas kelkaj informaĵo en ĉi tiu Esperanto Correlatives retpaĝo
Can ajn be used on it's own or does it always need to be used with ie or something like it?
Well, 'ĉi' can't really be used by itself, so I'm not sure if you'd be able to say something like "ajn homo" or if it'd have to be "iu ajn homo".
For contrast, how would you say "Put is somewhere else in the room."?
Put gin anywhere in the chamber!
The narrator sounds a little angry. :D
That's just the German that CameronAvocado is referring to ;)