Jesse and Fiona work together on the episode "Breach of Faith." In this Burn Notice clip, the pair pose as newlyweds and try to get the home address of the person they're after. We get a good idea of Jesse's smarts, as well.
Fiona and Jesse are in the Bahamas on the Burn Notice episode "Breach of Faith." Based on this clip, looks like this is one of their more appealing missions.