Good question. I can't find a way to do this from the graph. That might be a good suggestion for the JMP Wish List.
I did find that if you go to File > Preferences > Fonts and change the font for "Text" that will change the font of group X:
However, that will also change the font of lots of other text in JMP.
You could change the font after export from JMP. Have a look at the section "An added benefit of vector graphics: Infinite customization" in this JMPer Cable post.
I hope this helps,
Phil