The Faroe Islands international grabbed the only goal of the game in the first half to send Millwall to their 12th defeat of the campaign.
Coventry started brightly with Andrew Whing and Andy Morrell forcing Millwall keeper Colin Doyle to make two smart saves within the opening 15 minutes.
Millwall, who passed the ball around neatly, had a fine flowing move which saw Alan Dunne's 20-yard strike arch over keeper Marton Fulop and over the bar.
The deadlock was broken in the 33rd minute when Gary McSheffrey pulled the ball back from the left byline and Jorgensen side-stepped on-loan Liverpool defender Zak Whitbread to rifle a 12-yard shot into the corner of the net.
Both teams had two excellent chances to score within the first five minutes of the re-start. Michael Doyle latched onto a lovely flick from Dele Adebola but his 20-yard strike clipped the bar before Millwall skipper Matt Lawrence's cross from the right found the head of Kevin Braniff but Fulop tipped the close-range chance over the bar.
McSheffrey exchanged passed with Doyle but watched in disbelief as his shot rolled across the face of the goal and the keeper's left-hand post, and Fulop then turned a shot from Dyer round his post in an action-packed start to the second half.
The chances continued to come thick and fast. McSheffrey set up Morrell and the strike controlled the ball superbly but lifted his shot over the keeper and the bar.
Richard Duffy's left-wing cross was headed wide by Adebola from six yards as Coventry piled on the pressure.
The Championship's bottom team were reduced to ten men in an incident which sparked an ugly confrontation near the centre circle. Skipper Matt Lawrence was shown a red card by referee Tony Leake for elbowing Doyle in the 65th minute which led to an 18-man melee.
The referee was replaced by fourth official Martin Dexter in the 74th minute after suffering a groin injury.
In the closing stages Sky Blues substitute Kevin Thornton latched on to Adebola's pass before unleashing a shot which Doyle tipped round a post as the hosts looked for a second goal.