Oh I have .ssh/config like:

    Host vm3
    User myusername
    HostName the-host-name
    ProxyCommand ssh -W %h:%p myusername@jump.host.address

So will jump through automatically using my ssh keys. Its very convenient. But Tramp doesn't seem to respect that configuration, or demands that I use a password instead of the ssh keys (its been awhile since I've last tried, so I kinda am dim on the details of what was the hassle)