Meanwhile, singer Robert Plant appeared as a special guest after revealing he was a big Gavin and Stacey fan.
The ex-Led Zeppelin legend told Jones: "You've made me smile so much this last couple of years - thank you!"
In his interview, Plant also spoke about his links to Wales and his interest in its history and mythology.
"My parents used to take me to the castles (in Wales) and tell me a lot about the glory days," he said.
"I started to enjoy that the culture and the poetry was very different to what we had in England."
He also spoke about his time as a young man playing gigs in Wales and joked: "I played around here a lot, I got beaten up around here a lot."
When asked about Led Zeppelin's plans to tour and record without him as their frontman, Plant said: "I am dug in with Alison Krauss."
The singer ruled himself out of the come back earlier this year. His album with country star Krauss Raising Sand has been nominated for five Grammys and was critically acclaimed.
James Corden and Ruth Jones on the Radio Wales stage in Barry Island
"I see Jimmy Page quite a lot and he is quite complimentary about what I do with Alison," he said.
The Sunday Brunch radio show made its special pre-Christmas visit to Barry Island, one of the main locations for Jones and Corden's comedy about a young couple from opposite ends of the country - south Wales and Essex.
It was Jones' last show in a 12 week stint on Radio Wales.
Other guests on the show included Welsh choir Only Men Aloud, who performed Christmas songs for the crowd and Gavin and Stacey star Steffan Rhodri, who plays Dave in the series.
The second series, which was first shown on BBC Three, is currently re-running on BBC One, while a Gavin and Stacey Christmas special will be shown on BBC One on 24 December at 2200 GMT.
These fans of the series in Barry on Sunday had their plea answered
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