Wha't the difference to use the junction to case thermal resistance instead of the junction to lead thermal resitance?
Some of this is partially answered in the comments to the question, but here's the complete (IMHO) answer:

\$R_{ja}\$ is the thermal resistance from the diode junction to ambient air assuming (1) no air movement (or perhaps natural conduction), and (2) there's no significant thermal coupling between the diode's leads and the ambient environment.  It says, in effect, "if you take no special effort to couple (or insulate) this diode to (or from) the environment, this is what your thermal resistance is".

\$R_{jl}\$ is the thermal resistance from the diode junction to the leads -- or, if the diode is fully specified, to some point on the leads (i.e., 10mm from the case, or 5mm -- there's no standard, read the data sheet carefully).  Using this you can arrange your application (somewhat) to suit the diode, by arranging to couple the leads to the ambient environment.  Usually this is done by making extra-big traces on the PC board, or extra-big pads, to conduct heat from the diode leads to the surrounding PC board.