This article focuses on the investigation of finite-time dissipative state estimation for Markov jump neural networks. First, in view of the subsistent phenomenon that the state estimator cannot capture the system modes synchronously, the hidden Markov model with partly unknown probabilities is introduced in this article to describe such asynchronization constraint. For the upper limit of network bandwidth and computing resources, a novel dynamic event-triggered transmission mechanism, whose threshold parameter is constructed as an adjustable diagonal matrix, is set between the estimator and the original system to avoid data collision and save energy. Then, with the assistance of Lyapunov techniques, an event-based asynchronous state estimator is designed to ensure that the resulting system is finite-time bounded with a prescribed dissipation performance index. Ultimately, the effectiveness of the proposed estimator design approach combining with a dynamic event-triggered transmission mechanism is demonstrated by a numerical example.