No. You just maintain a single deny list.
> which is exactly what we were using JWT to avoid...
JWTs were designed to allow servicss to do stateless checks. Originally this meant clients getting single-use bearer tokens, or worst case scenario short-lived tokens. Revocation lists are only relevant if JWTs are explicitly used in a way that goes against their design goals of being short-lived.
Nevertheless, you are also wrong: JWT denylists have absolutely nothing to do with sessions. The are a list of what JWTs should be rejected by resource servers. A client can and does handle many JWTs throughout their session, whereas resource servers only need to periodically refresh that list and check if a JWT ID is in it or not. This does not make JWTs more or less stateless.