Ha, yes - there's definitely an element of that in it, particularly in the first episode - "You're his what?"

Jeeves: "His manservant. His gentleman's personal gentleman. His valet."

You can see the cogs turning as to what 'gentleman's personal gentleman' might imply!

But then, as Jeeves walks away, his 'mmm-mmm!' is rather one of appreciation for the man, rather than just amusement at his suspicions of an interesting set-up between Jeeves and Bertie, I like to think. :)