this, which shows that he isn't such an egotist that he's unwilling to debase himself for the purpose of getting what he wants.
Also, he is a trickster god. Misleading others about the extent of his power would certainly be in character.
Therefore, as I stated, we can't draw a solid conclusion about it. I do lean towards the idea that Coyote can't harm Jones, but the evidence, as it stands, is not conclusive.Also, "Are we getting into this again, wandering eye?" line indicates that this is not the first time that there was a conflict. So, while there is no way to tell for sure how far it went and if there was a physical confrontation...
She has never encountered anything that is capable of damaging her. Absence of evidence is not evidence of absence, sure, but I wouldn't exactly call it a bluff or empty threat to act on a belief in her own invulnerability that has been reinforced by eons of existence without any challenge to it....I am more inclined to believe that Jones has some evidence that she can't be damaged, or at least not damaged enough to lose the confrontation. She is not exactly a type of person that is given to bluffs and empty threats.