A jump box is a virtual desktop on the client’s domain that you can connect to using Remote Desktop. You’d obviously have to ask somebody for access to one, and you’d have to set up your development environment from scratch. This may not be a big issue if you’re in SSMS all of the time, but when you need the Power BI Desktop, Excel or even Visual Studio, this setup can take some time (not to mention asking for local admin credentials on the jump box).
A fourth option is to run the executable with runas and /netonly, like:
runas /user:domain\username ssms.exe /netonly