The Danish midfielder produced a cool finish in the 33rd minute to keep Millwall without a league win away from home since September.
Millwall's task was made even more difficult when Matt Lawrence was sent off in the 66th minute for a professional foul on Jorgensen.
Millwall boss Colin Lee:
"We can't afford to keep having players sent off.
"I will be asking Matt on Monday about it after looking at the tape. I don't think there was any intent.
"I will also have a word with Alan Dunne. I saw him do something off the ball in the first half which could have seen him sent off."
Coventry: Fulop, Whing, Page, Shaw, Duffy (Impey 82), Morrell, Jorgensen (Thornton 76), Osbourne, Doyle, Adebola, McSheffrey.
Subs Not Used: Ince, Ady Williams, Reid.
Goals: Jorgensen 33.
Millwall: Doyle, Paul Robinson, Lawrence, Whitbread, Dunne, Elliott, Morris, Wright (Marvin Williams 86), Livermore, Braniff (Asaba 73), Dyer.
Subs Not Used: Phillips, Simpson, Hendry.
Sent Off: Lawrence (66).
Ref: T Leake (Lancashire).