Usually we assume a normal distribution when we calculate Ppk; however, when working with skewed data, this assumption will result in a Ppk metric that is often obviously wrong (as you have undoubtedly discovered.)
In JMP there are at least two ways to deal with this (I'm using JMP11)
The "simple" method:
Use Analyze/Distribution. Select your column and the distribution model you would like to use from the dropdown menue in the dialog. After clicking Run, go to the red triangle menu (RTM) and run the capability analysis, and supply at least one spec limit.
The "easy" method:
Go into the column properties of your metric column. Add a distribution property, and a spec limit property. Then just run the distribution (Analyze/Distribution, pick column, click Run.)
In both cases above, I assumed you knew with distribution model. If you don't know, run a distribution on your metric column, then use the RTM and pick Continuous Fit, and and select "All." Then pick either model at the top of the list, or the one that makes most sense given your knowledge of the process metric.
JMP Systems Engineer, Health and Life Sciences (Pharma)