Roedd Mr Jones yn ymgyrchu i Brydain adael yr UE cyn y refferendwm y llynedd.
Wrth gael ei holi gan y BBC ddydd Gwener dywedodd cyn ysgrifennydd Cymru, Mr Jones mai Mrs May yw'r "arweinydd gorau sydd gan y Torïaid ar hyn o bryd".
Y Farwnes Anelay sydd wedi cymryd ei le fel Gweinidog Gwladol dros adael y UE wrth i'r Prif Weinidog Theresa May roi trefn ar ei chabinet newydd.

The 40-year-old, from the South Bank area of Teesside, was discovered on the A66 in the early hours "in a distressed state" with wounds to his groin after the attack.
The road, from Greystones Roundabout to Church Lane in Middlesbrough, was shut earlier while searches of the area were carried out. It has now reopened.
A 22-year-old man was arrested on suspicion of assault and later bailed.
Cleveland Police said the injured man had been placed in an induced coma in hospital.
The force said in a statement: "Police can confirm that the man found this morning on the A66 had wounds to his groin area.
"Officers are continuing to investigate and are appealing for anyone with information to contact them."

Bristow asked on Twitter why victims did not "sort out" their abusers "when they got older and fitter".
More than 20 ex-footballers have made allegations of child sex abuse.
"He was a contributor to our darts coverage in the past but we will not be using him in the future," said a Sky spokesman.
Newcastle United said they had dropped Bristow "immediately" from a scheduled appearance at St James' Park on 6 December and "will not work with Eric Bristow in the future".
Former Crewe player Steve Walters, one of the footballers to have come forward, said he was "disgusted" by Bristow's remarks.
Several former footballers have waived their right to anonymity in order to go public and raise awareness of alleged historical abuse in football, a step which has won praise from politicians, sport administrators and abuse charities.
At least eight police forces are now investigating allegations of historical sexual abuse.
Bristow, who was made an MBE in 1989, suggested that darts players were "tough guys" and footballers "wimps".
He added the victims should not be able to look themselves in the mirror for not "getting their own back" on their abusers in adulthood.
In addition to his comments on sex abuse victims, Bristow caused anger by conflating paedophiles with homosexuals in a tweet that read: "Might be a loony but if some football coach was touching me when I was a kid, as I got older I would have went back and sorted that poof out."
Bristow has since deleted each of those tweets.
Duncan Craig, chief executive of the charity Survivors Manchester, said he has reported Bristow's tweets to Staffordshire Police as a "hate crime".
The charity, which supports male victims of sex crimes, now has Walters as an ambassador.
Craig said of Bristow: "His comments are absolutely appalling.
"Bristow is ill-educated but that's not a crime. However, calling someone derogatory homosexual terms is a hate crime in my view.
"The reason many men don't speak out is because they feel less of man, feel judged, feel ashamed. Bristow is perpetuating those myths to his 93,000 followers - that's why I'm taking such a strong stance."
Mae'r Aelod Seneddol dros Orllewin Clwyd, David Jones wedi colli ei le fel Gweinidog Gwladol dros adael yr Undeb Ewropeaidd (UE).
[NEXT_CONCEPT]
A man has been found by the side of a road with his penis cut off.
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Former darts world champion Eric Bristow has lost his role with Sky Sports after suggesting football abuse victims are not "proper men".