A CDN might be faster, on the base that it is built with speed in mind (high performance, tuned web servers, good caching...) and it is usually composed by a network of geographically distributed servers, lowering latence both because they are nearer and because they share the load. Also, they could be directly placed on backbones, which allow for much faster transfer rates than a low-to-mid-priced server will ever do.
Thus said, for a low traffic website mostly visited from one specific country, in turn near to the server location, the difference in load is irrelevant.
The reason for using Google or jQuery CDN is both saving bandwidth (if the respective owner allows you to use theirs, of course) on your server and be sure you do not miss urgent patches, as they will push fixed versions on the CDN as soon as possible, while you have to get notified, download the new version, then load it on your server (although I guess that this is not a great issues in modern, sanboxed browsers).