You can go here to see which Rokus have the features that interest you. (Look for " Headphones for private listening".) Based on a quick look, it’s the Roku® Streaming Stick+® HE, Roku Ultra, Roku Ultra LT, and Roku® Streambar™ Pro that have headphone support.
An additional method to get the headphone jack feature (Private Listening) is to use the Roku mobile app with a mobile device (phone/tablet etc) that has a headphone jack. The Roku mobile app can be downloaded from Play Store or Apple Store. Often used to replace the physical remote or in conjunction with physical remote if you just want the Private Listening.