Hi @billi,
Mediation analysis is not yet directly available in JMP (as of JMP 14). However, with a little bit of work, you can bootstrap an interval estimate for the indirect effect of a variable using the Right Click > Bootstrap functionality in JMP Pro. So, the answer is: possible, just not yet easy.
I encourage you to post your request in the JMP Wish List so our developers know there is interest in adding this functionality directly into JMP.
@julian