Technically, Jon and Karyn weren't party-goers, they were the entertainment. So they didn't transport to Jimmy's pleasure palace, along with Jimmy and his new harem girls.
Jon and Karyn felt relief. They wouldn't have to serve their masters anymore, since they were no longer around. But they had a problem. Jimmy had the wishing stone. They had no idea where Jimmy's pleasure palace was, so they wouldn't be able to get it back.
Jon could be stuck as a girl for the rest of his life.
Meanwhile, at Jimmy's pleasure palace ...