Flying Ad-hoc Network (FANET) is a decentralized communication system solely formed by Unmanned Aerial Vehicles (UAVs). In FANET, the UAV clients are vulnerable to various malicious attacks such as the jamming attack. The aerial adversaries in the jamming attack disrupt the communication of the victim network through interference on the receiver side. Jamming attack detection in FANET poses new challenges for its key differences from other ad-hoc networks. First, because of the varying communication range and power consumption constraints, any centralized detection system becomes trivial in FANET. Second, the existing decentralized solutions, disregarding the unbalanced sensory data from new spatial environments, are unsuitable for the highly mobile and spatially heterogeneous UAVs in FANET. Third, given a huge number of UAV clients, the global model may need to choose a sub-group of UAV clients for providing a timely global update. Recently, federated learning has gained attention, as it addresses unbalanced data properties besides providing communication efficiency, thus making it a suitable choice for FANET. Therefore, we propose a federated learning-based on-device jamming attack detection security architecture for FANET. We enhance the proposed federated learning model with a client group prioritization technique leveraging the Dempster-Shafer theory. The proposed client group prioritization mechanism allows the aggregator node to identify better client groups for calculating the global update. We evaluated our mechanism with datasets from publicly available standardized jamming attack scenarios by CRAWDAD and the ns-3 simulated FANET architecture and showed that, in terms of accuracy, our proposed solution (82.01% for the CRAWDAD dataset and 89.73% for the ns-3 simulated FANET dataset) outperforms the traditional distributed solution (49.11% for the CRAWDAD dataset and 65.62% for the ns-3 simulated FANET dataset). Moreover, the Dempster-Shafer-based client group prioritization mechanism identifies the best client groups out of 56 client group combinations for efficient federated averaging.