The only scenario I can envision where self-hosting JQuery/JQueryUI would be consistently quicker than a CDN would be a situation where you have both a beefy web server and clients together on the same fast local area network, as in an Intranet-type deployment. In that case, the gigabit local speeds will definitely trump an internet connection to Google servers for that critical first page hit. I believe this is implied in the self-hosting JQuery article--the envisioned scenario is one where the client may not have access to the Internet at all, making self-hosting mandatory.
Have you considered the possibility that Google is slow in your testing but may be faster from elsewhere? I'd be surprised if Google CDN is slow across the board--we are using the Google CDN but I've not had any reports of slowness. Could it be your DNS lookups that are slow?
I've never tried alternate CDNs, but I did see that JQuery has their own CDN that you test with, at https://code.jquery.com/
I hope that helps,