http://www.uesp.net/wiki/Skyrim:Jenassa

i have her when i am level 9 and it states that her moral is any crime, all of my quest are good deeds now my char is 25 but i decide to make a twist by doing the quest in Riften: stealing Frost the horse to close a half made deal. When i am in in side the Black Briar lodge i decide to pass the weight to her with stolen goods and loots from enemies but dialog option won't pop up and she would say something like "You are not supposed to be in here".

I wonder if that's a bug. I was in there with Jordis and she said the exact same thing.

A bug, according to http://elderscrolls.wikia.com/wiki/Talk:Bugs_%28Skyrim%29/Archive_1#Followers_stuck_in_buildings