Pronunciation of the letter j

I was watching this video from easy polish and I noticed that names like Julia, Jan, Julka are pronounced like: Yulia, Yan, Yulka. But when they say the name Jessica, they say something like Dzessica but not Yessica. Also in this polish song they speak in the same way. https://youtu.be/d00_feh_EE4?si=yrg7i2WvoXeWiA1n

I want to understand if there are another cases when the pronunciation of J is like Dz and why this occurs.