Every time I turn on my Jeep Grand Cherokee it makes a noise like air is coming out the back. Could it be the fuel pump?

What you are hearing could very possibly be the fuel pump. It is usually located in the bottom of the gas tank or just outside of the tank at the rear of the Jeep. This is a normal sound when you first start your Jeep especially if you have not driven it in several hours or a day. It does sound similar to an air compressor starting up. You do not mention there being any problem other than the noise so that is what I think it is. It is also very possible to be your catalytic converter is plugged up and the air is comming out any small hole it can find.