In "Fish in the Jailhouse" (Marvel's The Defenders, S01E07), there is a scene involving Luke Cage, Jessica Jones and Matt Murdock (aka Daredevil), in which Matt notices someone is near, and I think Jessica makes a pop culture reference.
LUKE: What's wrong?
DAREDEVIL: We're not alone.
JESSICA: (SIGHS) MJ deep cut.
—"Fish in the Jailhouse" (Marvel's The Defenders, S01E07)
According to sources online, a "deep cut" refers to a song or a track, traditionally in an album or record, and it is "deep", figuratively, because it is hidden "deep" within the album, or otherwise in a hard to find source, making it a fringe, obscure or rare find that only a fan would know about.
Typically refers to a more obscure or less accessible song in an artist's portfolio, one that only dedicated fans are aware of.
Also increasingly used to refer to any obscure or less accessible artwork, opinion, trivia, etc.
"Bryan Cranston used to eat McDonald's every day on the set of Breaking Bad." "That's a deep cut, man. Where'd you learn that?"
—machinewater, "Deep Cut", Urban Dictionary
This term has also been used to apply to obscure art, opinions and trivia, etc. meaning that it can be summarised to mean
obscure reference. From this, I gather that Jessica Jones is making a pop culture reference, or at least reacting to Daredevil's line and jokingly pretending he made a reference with his line, "We're not alone"..