Because:
a) Jazz Jackrabbit is a full name of the protagonist and therefore its initials are J.J. and can under no circumstances be anything else (unless he has an unknown middle name, in case of which however it goes in the middle, as in J.X.J.);
b) "Jackrabbit" is a word in the English language written always as a single word and never separately or with a hyphen;
c) Official sources regarding Jazz Jackrabbit use "JJ" as its abbreviation, for example Jazz Jackrabbit 2 cheat codes.
Therefore shortening "Jazz Jackrabbit" to "JJR" is always incorrect and doesn't make any more sense than shortening it to "JZJKRBT" instead. It's a matter of incorrect usage of English, plus a matter of misspelling the title of the game this forum focuses around; there's absolutely no capital "R" in Jazz Jackrabbit.