Barry,
what you need to do is to include a '#' link to the destination jQuery mobile link. For example if you have a JQM page called infoPage like this:
<div data-role="page" id="infoPage" data-add-back-btn="true">
<header data-role="header" data-theme="c">
<h1>Video tests</h1>
</header>
<div data-role="content">
This is where more info would appear...
</div>
</div>
Then you can create the marker like this:
var popup = new L.Popup();
popup.setLatLng( e.latlng );
popup.setContent( "More <a href='#infoPage'>info</a> here." );
map.openPopup( popup );
Notice the href='#infoPage' - thats the standard JQM way of switching pages.
Hope that solves it for you (I just tried it here and it works)
...and just in case you are running your 'app' as a PhoneGap app rather than as a pure webapp, a click on a link may cause PhoneGap to launch content in the browser rather than stay in its own web view. This is answered somewhere else:
Links in remote JQueryMobile sites in a PhoneGap app open safari
What controls whether PhoneGap opens an external browser / Safari?
http://forum.jquery.com/topic/phonegap-jquerymobile-ajax-links-opening-in-browser-window
open link inside the phonegap program