The actress is said to have met the funnyman after appearing alongside him on the U.S. sketch show last year (09), where they filmed a number of skits together.
And now the pair appears to be hitting it off - the blonde beauty has been regularly visiting Sudeikis on the set of his upcoming comedy Horrible Bosses.
A source tells JustJared.com, "January has made multiple visits to Jason on the set of his new movie. They were pretty flirty together!"
Jones' Mad Men co-star Elizabeth Moss has also fallen for a Saturday Night Live castmember after hosting the series - the brunette married Fred Armisen in October (09).