Erected in 1821 for the fledgling South Carolina Academy of Fine Arts, Jay's frame building was lost in the Great Fire of 1861. We do have a description, though, from Robert Mills in Statistics of South Carolina (1826):

The next specimen of Greek style, is the facade of the academy of fine arts...The appearance of this edifice is upon the whole agreeable, and exhibits the hand of the artist: passing through the portico you enter a vestibule, and each side of which are two rooms for statues, etc. In front a large opening leads you into the exhibition room, where a rich feast in the painting department of the fine arts meets the eye. The room, in its plan, is a perfect square, lighted from the top.