In this paper, we introduce a novel Gauss–Jacobi quadrature rule designed for infinite intervals, which is specifically applied to the velocity discretization in multi-scale Boltzmann solvers. Our method utilizes a newly formulated bell-shaped weight function for numerical integration. We establish the relationship between this new quadrature and the classical Gauss–Jacobi, as well as the Gauss–Hermite quadrature rules, and we compare the resulting discrete velocity distributions with several commonly used methods. Additionally, we validate the performance of our method through numerical simulations of flows with various Knudsen numbers. The proposed quadrature provides fresh insights into velocity space discretization.