"Dupree's Diamond Blues" is based on an American folk song titled "Betty And Dupree," which was based on a real historical figure named Frank Dupree.
According to In The Pine: Selected Kentucky Folksongs, Dupree tried robbing a diamond wedding ring from a jewelry store in Atlanta, Georgia, in 1921. He intended to give the ring to his girlfriend Betty. When a police officer showed up, Dupree shot him dead. He then fled to Chicago where he killed another officer and wounded others.
Authorities eventually apprehended Dupree while he was getting his mail. They shipped him back to Atlanta where he was executed on September 1, 1922.
The song is the second track on the Grateful Dead's third album, Aoxomoxoa. As with most of the songs on the album, Dead lyricist Robert Hunter wrote the words and Dead frontman Jerry Garcia wrote the music.
Well when I get those jelly roll blues
The term "jelly roll" was once common African American slang for a woman's genitalia. The great ragtime pianist Jelly Roll Morton took his name from that very meaning. In 1924, Morton recorded an influential jazz song titled "Jelly Roll Blues," which is most likely what Hunter is referencing here.