The 51-year-old shock rocker was pictured after the 'Sucker' hitmakers' gig last June with his hands around the 30-year-old singer in a selfie, which went viral on social media.
Joe - who is joined by his siblings Kevin and Nick Jonas in the pop trio - has admitted he was so shocked that the 'Antichrist Superstar' singer is a fan of his band, that he thought someone was playing a game with him when he received the request.
According to the Daily Star newspaper's Wired column, Joe said: ''He hit me up and was like: 'Hey man, I would like to come to your show', and I was like: 'This isn't him, this isn't the same Marilyn Manson I am thinking about'.
''But yeah, he showed up and it was such a good time, we hung out and he watched the whole set at the side of the stage, he's a good guy.''
Joe posted the selfie, which also had Ryan Seacrest in it, on Twitter at the time, and quipped in nod to their appearances on the Disney Channel's 'Camp Rock' movies and their titular series: ''Hi we are the Jonas Brothers! And you're watching Disney Channel!''
Taylor Swift was also at the gig and had her picture taken with the 'Tainted Love' singer.
Meanwhile, the Jonas Brothers recently dropped two news songs, 'X' featuring Karol G and '5 More Minutes'.
The chart-toppers treated fans to a double release and have also teased that they have enough new material to make a new album.
Their fans started to speculate that a new record could be on the cards to mark their 15th anniversary as a group, as the two songs together, 'XV,' is 15 in Roman numerals.
And, although Joe insisted they hadn't used the two tracks to cryptically tease a record, they do have plenty of tracks stored away that could make a follow-up to their 2019 comeback LP, 'Happiness Begins'.
He explained: ''We definitely have a good amount of songs ready to go.
''And I think we didn't realise all the parallels with just having 'X' and 'V' as this title because now people are thinking there's more to it.
''But right now, we just got two songs to deliver to everyone, and hopefully they enjoy those.
''And we definitely want to release more.
''So we'll see how everything goes in the next few weeks, few months, and hopefully, we can be putting some more songs in your hands.''
On the new tracks, he added: ''We're happy with these songs, and to have Karol G featured on 'X' is exciting for us.
''They both are completely different songs.
''They both have a different story to tell.''
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