That's a very old myth. Whatever you do make sure that jar is in safe place! The only way that's not gonna be a grenade in a strike is if you have a very good vacuum inside, otherwise the moisture and air inside is going to heat up quickly and you are mostly containing the expanding gas as it expands. BOOM!
The theory goes that since glass is an insulator that this is somehow better than just an open coax. It is not. The strike made it 15,000 feet from the cloud to the ground causing air the break down, do you thinking another few mils of glass are gonna stop it? You know what might work is to fill your sink with salt water and dunk the coax in that. It would short the feedline to your plumbing and might do the trick. The salt water would ruin the coax, though. :-)
What you are after with lightning and static suppressors is controlling and routing the current away from your stuff, not stopping it. That is why you ground things, give the strike a path of lesser resistance around your radios and house. I only pull my coax off because I don't have antenna switches to connect to a real discharge ground yet. But don't forget that anything hit with lightning is gonna be toast, so think about your physics and thermo classes, things are gonna burn, heat, expand, etc.
"Silent enim leges inter arma." -- Cicero