I’ve been trying to get a simple Cg vertex shader working in Linux using the jogl_cg class and I haven’t had any luck. I’ve got a geforceFX 5200 and I’m able to run all the demos and run some C++ code that I’ve written. If anyone has had any luck I would love to see some of the code especially the OpenGL/JoGL init method and display method. I can post some of my code if it is of any help.
For me, I got the same problem. The documentation of JOGL_CG is very hard to find. I am using Eclipse and I imported the CG, but if I do a call for a CgGL., the program will crash. 
Look in the jogl-demos sources under src/demos/cg. There are a couple of simple Cg examples and all the setup code to get started. The HDR demo also has a working Cg pipeline, but this is a much more complicated demo.
Hope it works, thanks a lot