I found an article explaining ProxyJump - it is neat!
You could certainly do that by hand - so set up the SSH tunnel in advance and use SFTP to that.
So I guess we could imagine a list of intermediaries in the rclone.conf which rclone had to connect to first.
I wonder if we could make rclone use ssh for creating the connection rather than its internal ssh client. Then it would support ProxyJump and looking up in ~/.ssh/config
Using v1.55 syntax that could be something like this :sftp,host=HOST,external
assuming that external
meant use the external ssh. (There is probably a better name but it won't come to mind!).