I was too. I was actually guessing that Nucky was his father and he didn't know it. In fact, I still am guessing that, though maybe just because I'm looking too hard for a "Luke, I am your father" twist. We know that he was protective toward Gillian and Jimmy when they were younger, but how cool would it be (as a plot driver, I mean) if Nucky had also been sleeping with Gillian, and he was actually Jimmy's father, and they were keeping that from both the Commodore (because he wouldn't be happy that Nucky was also sleeping with his girl) and from Jimmy (because she was 13, and EW). If that were to come out, it could turn both the Commodore and Jimmy against Nucky, and that would make for some good TV.