Hi,
The answer of N_LaRUE is not very good.
Well, it depends of your device. But, Jailbreak is rather a term used for the iDevices.
For example, for Lumia devices that may incorporate a micro-SD card, you can do certain things. You can modify the OEMSettings.reg file to write the registry keys that you want. Through this, it is possible to Interop-Unlock. Still speaking of that, we can consider this method as a "mini" Custom ROM (because this file is reinjected into the ROM, and applied after a HR).