Let's try a couple of steps here - simply launch the app while connected on Jio cellular data > tap the (⋮) menu to the right of any song > click on JioTune & Ringtone. Under the 'Set Jiotune' tab, you'll be able to see the preview of your favorite Jiotune and all you'll have to do is click on "Set JioTune" and done.
If it still doesn't work, please send us a screenshot at feedback@jiosaavn.com and we'll take it from there.