I've never seen that common name used before, but the scientific name for this species is Calocitta colliei, so I guess they took it from there.
EDIT: Just tried putting 'Collie's Jay' into Google and the only site to use that exact phrase is... Saint Louis Zoo. Looks like they really are on their own on this one!
After seeing this episode where they repeatedly called it a blue jay I knew that they weren't native to the western U.S. But I laugh now every time I see one.