To queue Jenkins job for VSTS pull request build validation, you can follow below steps:
Create a job in Jenkins
First, you need to create a job in Jenkins. If you have already create, then skip this step.
Create and configure build definition for PR build validation
Seems you already created a build definition named Jenkins, then add
Jenkins Queue Job task.
If you didn’t configure your Jenkins as an endpoint in your VSTS project, you can click New button to specify server URL, username and password to login the Jenkins.
Then specify the Jenkins job for queuing.

Note: If your Jenkins setup as a local server (the url as http://localhost:8080), then you need to queue VSTS build by private agent which also located in the same machine.
Add build policy as the target branch policy
In the build policy, you can set the Trigger as Automatic, the Policy requirement as Required, and the Build expiration is Immediately.

Now when pull request is created or updated for merging into the target branch, VSTS build will be triggered immediately, and the Jenkins job will also be queued during VSTS build.
Queue Jenkins Job
task in your build definition? Have you configured your Jenkins job as explained on GitHub? – alexr