She's not going to be thrilled that you're dating someone else. But there's nothing hurtful about it, in and of itself. It just raises questions which need to be answered.
She will need assurance that she is not being used, that your intentions are honorable, that she has a good chance of breaking you and Jessie up, that doing so is nothing to feel guilty over, and that she has no reason to expect the same to happen to her.
You're looking for an exclusive relationship. Jessie won't give you that. If Lucy is willing to, you'd never date other girls.Complication:
If Jessie changes her mind, you're completely screwed.
Breaking up with Lucy because her presence made Jessie jealous enough to move forward is going to make Lucy feel very bad about herself. It might also bring out a smugness in Jessie that you're not going to like.
Breaking up with Jessie if she's been waiting for you to ask for an exclusive relationship sucks for Jessie.
Of course, if Lucy is looking to go exclusive this early, you've got some serious "moving too fast" to watch out for.
She might respond to all this by asking you to put your relationship with Jessie on hold while you're dating her. Or give a specific timeframe for you to make your decision. If the two of you don't know after a few dates that this is worth pursuing, you should
Don't draw this out. Date multiple women for a short transition period
, and then choose. Should your choice be "not lucy", repeat as needed until you find a relationship you're happy with (Jessie or someone else).