That's really smart!

I'd maybe even reverse it, having:

  Host my-jump-host
      Hostname my-jump-host.mydomain.example
      User myuser

  Host my-jump-host-*
      User myuser
      ProxyCommand ssh my-jump-host nc $(echo %h | sed 's/^my-jump-host-//') %p

This way, autocomplete in bash would work. Typing "ssh m<tab>", assuming m* doesn't match anything else, would suggest "ssh my-jump-host" (which I often ssh directly to anyway). Then just add "-myotherhost" so the whole sequence becomes "ssh m<tab><bs>-myotherhost". Not a huge saving but I'm lazy and like autocomplete in the shell.

Whoa! Now that's mighty useful, thanks! (Note that this works even without the ProxyJump option, but requires a sane netcat on the jumphost; older busyboxes only had a netcat)

Let's say all machines are named in the form "vm12345," but the jump server itself is also named in the same form. How would you go to include all vm in a wildcard, but the jump server itself?