Jones will be lining up for Trinidad & Tobago against England in the World Cup and gave a performance of pace and power, letting himself down only with his finishing.
Jones scored from the penalty spot but missed two other good chances in the first half as Southampton coasted to their successive win.
Jones was brought down on 11 minutes by Marcus Phillips and from the spot sent Colin Doyle the wrong way.
Jones should have scored again in the 30th minute after racing clear on to a long pass from Chris Baird but as Doyle came out, Jones shot over the bar.
Jones went close again on 42 with a left-foot shot just past the post with Doyle beaten.
Millwall needed to win and hope other results went their way in order to survive but after a bright start they quickly faded.
Southampton sent on Jamaican Ricardo Fuller in the 61st minute and he should have added another soon after.
Racing clear on to a Nathan Dyer pass, Fuller shot wide in the face of a brave challenge from the on rushing Doyle.
Millwall went close to a leveller on 79 minutes when Matt Lawrence crossed from the right and substitute Ben May headed against the underside of the bar.
Fuller was then booked on 86 minutes but got his revenge in stoppage time as Millwall won a corner.
Goalkeeper Doyle went up in search of an equaliser but the set piece broke down and Fuller was able to run from the halfway line before shooting into the empty net from the edge of the box.