I’ll honestly go ahead and admit I don’t recall ever asking myself this. It’s just always been a jackknife. From my earliest memory my father and uncles and brother-in-law all carried them and I wanted one. But that is kind of a funny name, now that you mention it.
On the ADS list, Grant Barrett then helpfully pointed to the OED entry for “jockteleg,” a Scots word (with related forms “jacklag,” “jack-o-legs,” “jockeylegs” and others) that means “folding knife” (and thus is almost certainly the same word as “jackleg”). A note in the OED quotes a glossary of Scots compiled by Lord Hailes around 1776: “The etymology of this word remained unknown till not many years ago an old knife was found having this inscription Jacques de Liege, the name of the cutler [knife-maker].”
It gets more complex than that: At one point the article links the word with a description for sleazy lawyers. Fun.
So the Scots, you see, gave us more than just golf, haggis jokes, and Ian McCollum.
You know, Ian says that one of the reasons he got into French rifles was because, I believe, they were underrepresented in the gun collecting/researching community. It occurs to me that the realm of Scottish firearms would have been even more so.
Another explanation for the name Jackknife is that such folding knives were carried by and indeed issued to Royal Navy sailors. An ordinary sailor is known as a Jack Tar. References to a Jack’s knife are found in Admiralty papers dating back to the turn of the 18th century.