Jay guested on The Nanny in episode #4.7 - "The Taxman Cometh."
This episode appeared in the fourth season and aired on November 6, 1996.
Maxwell's play was going to be featured on "The Tonight Show." As a favor to Jay Leno, Fran dogsits his little chihuahua. In the end, Chester takes after Fran a bit too well and effervesces with Jay's dog.