Seems like the setMedia method does not have a headers property, so this code will not work as-is.
To set the headers for a jPlayer instance, you'll need to use the jPlayer method to set the headers for the player as a whole, rather than setting them for a specific media file. To do this, you can use the option method to set the headers property for the player, like this:

const httpHeader = { 'authorization' : '123445'};
$(this).jPlayer('option', 'headers', new Headers(httpHeader));

This will set the headers for the player instance, and they will be used for all media files that are loaded by the players.