My guess would be GUDEBROD nylon rod winding thread in size C or possibly larger. It was very popular with tyers years ago and came in 4 oz. spools. I have 2 or 3 colors if you are looking for some. I inherited it from a tyer years ago and don't use it. I have no idea how many yards are on a 4 oz spool but it's a lot. I just found a green spool. This stuff may have been used with a tying machine.
I would dismantle one of them and see if you could unwrap some of it, would give us a much better look at it, then someone would know for sure, my eyes aren't that great but it looks like it wraps kinda flat like yarn.
I worked in a cotton mill while in high school and cotton scraps is what I thought of when I seen those jigs. The body looks like the same material as the tail and was wrapped or palmered then tied off.
What the body is made from is exactly what Fatman has, it is poly yarn. The jigs made by Spellman were really popular back in the day especially around Michigan and Toledo Bend. I read an article from In-Fisherman about the history of the marabou jig and then doing a little bit of looking it turns out that there wasn't much if any chenille material when there were being made, it was simply tinsel and yarn and after a few more articles I found one that mentioned poly yarn as one of the original materials that led to moder chenilles.