What happens if you get lost while rescuing Jenny?
I would say that there is room for interpretation. Clearly, once Jenny is in the camp she is affected from cards effects, weather, having no shelter etc. However, I would say that Jenny is not in the camp in your situation, but neither on the rock. Remember that if a character has to spend the night outside of the camp, then all the resources he got in his action are not available for the whole group, but only for the character himself. So in this case I would say that Jenny is kind of a gathered resource. 

It happens often in the game that you run in situations like this. As a rule of thumb, take the action that does the most harm.