I've been looking over the documentation for this integration (Jira Software Cloud) and the various settings in the integration in OpsGenie but can't see one that allows for setting the priority of any tickets that are first create in OpsGenie and sent to Jira.
This is a new setup and we've decided to only push P2 or higher alerts over to Jira and I have that bit setup, however, they are showing at Medium (P3) in Jira.
Whilst there is a trigger for "If Priority is updated" there isn't an action to perform in Jira to edit it on that side, with the only meaningful option being to add a comment which obviously isn't ideal.