In On the Rocks, Murray and Jones play Felix and Laura, a father and daughter who bond after Laura suspects her husband of cheating. The comedy-drama is set in New York City.
On The Tonight Show, Jones said Murray insisted on doing much of his own driving for the film and fancies himself "a professional stunt driver."
"Like, he really prides himself on doing most of it himself, and like, would speak stunt talk with his stunt double," Jones said. "But he did most of the driving himself, and I think part of it was because he likes to -- you know, he likes to pull a stunt."
"He likes to make people scream and laugh and feel surprised," she added. "So he would, you know, we'd finish the scene and then he would just like, bolt and, like, lose the follow van and all of our escorts and, like, just rip up Tenth Avenue and get us busted."
Jones recalled a moment when she was in the car with Murray and they saw flashing police lights behind them.
"I was like, 'Bill, we got to go back' ... I'm like, 'That's not our guys. You know those are not the guys in the production, right?'" the actress said. "And the guy was like, 'You got to get off -- What are you doing? Get off the street.'"
"Luckily, we were fine," she added. "It's just like the movie. He gets away with everything, that guy."
The On the Rocks cast and crew finished filming prior to the COVID-19 lockdown, which Jones said gave the movie an "immediately nostalgic" feel.
"I mean, you know, it's so weird because it's like instant vintage," she said. "We filmed it last summer, and we filmed all over New York. And its, you know, the city's so beautiful in it. It's such an important part of the story."