Her marrying you here and going back home to adjust status is not going to be an issue, I think.
The bigger question is whether you're eligible for the J-2 visa at all. Not all holders of J-1 visas can bring relatives in on J-2. Note that your sponsor is also going to have to approve bringing her in on a J-2. I would suggest that you consult an immigration attorney (possibly your sponsor may be able to help).

