CLASS was really CLASSPATH I copied it wrong
How are you starting sqlcl?
You will need to call java and sqlcl jar libraries directly with a sql.bat, which does make use of CLASSPATH, available in lower versions of sqlcl.
sql.exe does not make use of the %CLASSPATH% variable.
Search this forum for "sql.bat" as there are people who reported and fixed the Errors in sql.bat 188.8.131.524.2224
and made it "work" with later releases of sqlcl 18+, thus giving usable functionality with %CLASSPATH%.
The last version of sqlcl I successfully setup to use jython-standaolne-2.7.0.jar was
SQLcl: Release 184.108.40.2064.2224
which was shipped with
...and using the sql.bat shipped with that and commenting out the erroneous lines, the set DEBUG line and adding "setlocal" to the header.
There may be other ways to get jython working in what ever release of sqlcl you are currently using, or there may be none.