I think the answer depends on exactly what you mean, and I'm not quite sure, unfortunately. JMP can use custom shape files to display and select geo-spatial information, and also background maps to help the interpretation of point-oriented data.
Do any of the examples at: http://www.jmp.com/support/help/Examples_of_Creating_Maps.shtml come close? Do you have an example of what you have in mind?
So what i am looking to do is to do a heat map with the street level map, then a county outline around the street level map. does that make sense?
Does this look like what you are trying to do?
This graph shows crime data for San Francisco (from JMP's sample data). I used the background map options for both OpenStreetMap and US counties. Then I turned on the Heatmap, which shows counts of number of crimes in each area. I then applied transparency using the color legend so that I could still see the map underneath the Heatmap. Notice I changed the color of the county lines to orange so they would stand out more.
Hope this helps!