Yes, Jefferson most certainly did support the right of each state to peacefully secede. So did several other presidents. 3 states explicitly reserved the right to secede when they ratified the constitution. That included New York and Virginia which were the two largest and most influential states in each region. Nobody at the time said that the states could not secede or that their ratification was rendered somehow thereby defective.
Prove it.
“It is high time that the claim to secede at will should be put down by the public opinion; and I shall be glad to see the task commenced by one who understands the subject.”
James Madison’s letter to Nicholas Trist on the nullification crisis Dec 23, 1832
“The laws of the United States must be executed. I have no discretionary power on the subject-my duty is emphatically pronounced in the Constitution. Those who told you that you might peaceably prevent their execution, deceived you-they could not have been deceived themselves. They know that a forcible opposition could alone prevent the execution of the laws, and they know that such opposition must be repelled. Their object is disunion, but be not deceived by names; disunion, by armed force, is TREASON.”
President Andrew Jackson Proclamation to the People of South Carolina Dec 10, 1832.
“In my annual message I expressed the conviction, which I have long deliberately held, and which recent reflection has only tended to deepen and confirm, that no State has a right by its own act to secede from the Union or throw off its federal obligations at pleasure. I also declared my opinion to be that even if that right existed and should be exercised by any State of the Confederacy the executive department of this Government had no authority under the Constitution to recognize its validity by acknowledging the independence of such State. This left me no alternative, as the chief executive officer under the Constitution of the United States, but to collect the public revenues and to protect the public property so far as this might be practicable under existing laws. This is still my purpose. My province is to execute and not to make the laws. It belongs to Congress exclusively to repeal, to modify, or to enlarge their provisions to meet exigencies as they may occur. I possess no dispensing power.
I certainly had no right to make aggressive war upon any State, and I am perfectly satisfied that the Constitution has wisely withheld that power even from Congress. But the right and the duty to use military force defensively against those who resist the Federal officers in the execution of their legal functions and against those who assail the property of the Federal Government is clear and undeniable.
As you can see all of these Presidents unequivocally denied secession unilaterally done by a state or states.