The first time he met Jenna, she smelled like oranges. Not the artificial orange smell in some of today's shampoos, lotions, and perfumes, but the smell of real oranges. She had obviously eaten at least one earlier and he could still detect the smell clinging to her fingers when they shook hands.
(A small part of him wanted to lean in uncomfortably close to see if the fragrance also clung to her mouth, perhaps lick the phantom trace of juice from her chin.)
He doesn't fight the urge to needle Alaric when confronted. Predominately, it was because a self-proclaimed (though terrible) vampire hunter thought he could try and keep him in line. But there was a small kernel of jealousy. Not because he was particularly attached to the human, but because Alaric could have what he couldn't.
(He was married once, after his brother's insanity but before Katerina. He remembers himself and his bride being painted and the painter nattering on about fertility as he placed oranges in the scene. He decides to send Alaric and Jenna a basket of oranges if they get married and feels no need to hide the smirk as he pictures Alaric's confusion.)
He regrets that Jenna died.
Had any other vampire offered themselves up in her place, it is more than possible that Klaus would have accepted the replacement. However, the young vampire obviously meant something to his brother, so Jenna had died.
As he follows the trail of the wolf (hybrid, brother, betrayer) for three days, he thinks of oranges. One day, the vague memory of Jenna will be reduced to just that: the smell of oranges. For now, though, he will indulge in a fantasy.
(He helps her learn to control her new urges, to learn not to kill. She is easily frustrated, yet determined to not become a monster. On those days she needs a break from fighting the instinct to feed on easy prey, they stay in bed all day and feed each other oranges.)