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The programming cable that connects to the back of the calculator is NOT JTAG! It's a custom serial connection. Ask Gene Wright here in the forum if he still has some of the cables.
There are provisions for a JTAG connector inside the case. You'll need to cut out a rectangular opening in the back and solder a connector to the board. This is solely useful for hardware debugging and needs an appropriate debugging interface to work. I've modified my very first 20b in this way and connected it to an Olimex JTAG probe, controlled by the Eclipse debugger. This proved to be quite useful for the development of the hardware drivers (display, keyboard, timers) for the WP 34S project.