The ESP32 debugging is implemented by the ESP32 OpenOCD port. We have specifically tested it with J-Link Pro and FT2232-based debuggers (e.g. Olimex ARM-USB-OCD-H and also the on-board debug interfaces of the ESP32 development boards).
That said, using J-Link to debug ESP32 devices requires installing the libusb drivers for J-Link instead of the regular J-Link driver (you will need to restore the J-Link driver to use the J-Link Software for ARM devices again). If you do not wish to do it, please consider getting an FT2232-based debug probe.