I would expect that if you can run a JVM, you can run JMS code.
Where you might run into difficulties on zOS is in the area of network connectivity. You won't be able to create a client connection to a non-zOS qmgr at all outside of WAS. You will likely have difficulty creating JNDI connections to anything, including a FileRegistry (just because of zOS pathing/access complexities - assume you'll have to store your registry in USS and access it from there).
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