Either could be correct depending on context. Namely, whether in quoting the statement you mean that you expect that Jim is still in the same place or not.
If you asked me where Jim is, and I didn't know but thought that someone else might, and so I stepped into another room or called this person on his cell phone to ask, and 30 seconds later I reported his reply, I would probably say, "He says he has no idea where Jim is."
If I was telling this story months later, I would more likely say, "He said he had no idea where Jim was." Because wherever Jim was, we have no reason to believe that he is still in the same place. If we expected Jim to still be in the same place, we might use "is". Like if we were speaking of Jim's location very generally, like what country he now lives in, or if we were asking which prison he was locked in.
I guess we'd be unlikely to mix tenses. That is, we'd normally say, "He said he had no idea where Jim was", the saying and the Jim being both in the past; or "He says he has no idea where Jim is", the saying and the Jim being both in the present. But not necessarily. Especially if we want to make a point that the speaker's knowledge has changed over time. Like, "Yesterday Bob said that he had no idea where Jim is, but he found out this morning."