There is a Jesse Woodson James Jesse James - Wikipedia. He is notorious. Jesse Woodson James (September 5, 1847 – April 3, 1882) was an American outlaw, bank and train robber, guerrilla, and leader of the James–Younger Gang.
Jesse Woodson James (1847-1882) | WikiTree FREE Family Tree
EDIT: I did not see any mention of Lucy in the material I saw about James, but I was also not looking all that closely to see if she was mentioned. I am still fairly certain someone else will discover her and say whether she is connected to outlaw Jesse James