Jericho Strange first appeared in Devlin Waugh: Vile Bodies, a one off sex-heavy episode that really didn't generate as much controversy as it might have, I guess mostly thanks to some tasteful Colin MacNeil art. A shame that it's not included in this collection - sure, it has been reprinted in a couple of Devlin Waugh trades (both the Rebellion one and the Hachette one), but it's pretty stanalone and provides more Strange and more Colin MacNeil, and who doesn't want that?
That said, it doesn't do much to fill in any back story on Jericho Strange himself. He's just in it to guide Devlin around a ship full of fornicating folklore creatures.
I second all calls for more stories from both characters!