I was so sad when Jessie died. She was my favorite character at the beginning of the game. I loved seeing her in Elmyra's flashbacks of Aeris, and you see Jessie and Biggs are a couple. You did a really good job. I miss penciled artwork.
The proportion is a little off on the one arm, but otherwise very good. I like the cross-hatching technique you used on this pic. Gives it a different feel from your usual soft-shaded works (not that I don't like those, too, but variety is the spice after all).
Poor Jessie. I really wish she had survived the initial act of the game. I'm sure I'm not the only one, either.