Economical jail for not allowing centipedes
I'm not sure exactly what to recommend in terms of a Jali other than to suggest that you find one that has fine screening. Centipedes can fit through very tiny spaces.
More importantly in ridding your home of centipedes is removing or at least reducing their food source which is spiders and insects. It also helps to reduce moisture as much as possible.
I don't know how you feel about insecticides but there are a number available that are effective against centipedes. I use a foundation spray (Home Defense by Ortho) each spring around the outside of my home that is very effective in repelling ants and spiders. It claims to also repel centipedes. You might want to try something like like that.