Piggybacking onto Bumble B's comment about the Armed Forces...
I found a death record for a Jesse Bray in 2001, which gave his birth date as 26/03/1917. I then found an enlistment record for a Jesse Bray (with this same birth date) from 1935. He was in the Scots Guards. His trade upon enlistment was engine driver. However, it says he was 'home' between 01/09/1939 and 12/08/1943, so I'm not sure why he cannot be found on the 1939 register. He was released to Class 'Z' Royal Army Reserve on 17/07/1947 and discharged on completion of engagement.
Queenie

EDIT: This is definitely the correct Jesse, as his wife, Margaret Granger, is mentioned on his service record.