why would Ed and Edna not try to locate Jay's actual father if they had all the info? or tell Jay he was adopted? he would have to find out sometime, and it's best to tell some one they were adopted when they're young, so it's less of a shock.-ShinyShiny9

It may have been because of some kind of embarrassment over Jay's birth. Jay's dad didn't seem to be married or in a relationship of any kind, so Jay may have been an accidental baby. (Won't go into any more detail) Maybe Jay's dad didn't want Jay to know who he was. There really could have been any number of reasons the Walkers never told Jay the truth.