Are there any jungles in Yemen?

NO. Even though Yemen has some forests like the Bura'a Reserve, Yemen does not receive the high level of precipitation necessary to host a jungle or rainforest.

Bura'a: Yemen's last tropical forest endangered. One of the last remaining Arabian forests, Bura'a Reserve, hides between the sea and the desert in the shelter of the magnificent granite Jabal Bura'a mountain overlooking the Tehama plain onto the Red Sea.