Looking in jEdit plugin options, the line which shows were the program and convert-ly are shows /usr/bin . And Lily fires up just fine, so you'd think convert-ly should work as well. I did 'which convert-ly' and it showed /usr/bin as well.
But the console shows the following when I call for a convert-ly:
LilyPond ready. convert-ly.py --edit "/home/fgg/Desktop/LilyPondFiles/FaithfulOne.ly" /usr/bin/python: can't open file '/usr/bin/convert-ly.py': [Errno 2] No such file or directory
Processing time: 0 seconds