No, it's ambiguous.
It's what she did say, and what she meant at the time. Whether or not she still has a problem with the modern world is unknown.
But if she does still have a problem with it, then the sentence can be changed to the present:
Jenny said that she has a problem with the modern world.
Here, it's not ambiguous. What it's saying is that she said it in the past and she still has a problem with it in the present.
Some people put everything into the past. Others keep what was said in the present if they know it's something that's still true. It's only wrong to keep it in the present if you know it's no longer true.
Let's say that Jenny has died. It would be wrong to use the present tense because it no longer applies. It's only something that Jenny did have a problem with when she was alive.
- Moving everything into the past is never wrong, but it can be ambiguous without more information.
- Keeping it in the present is also okay (at least by most grammarians), and unambiguous. But it means it's still true, so it should only be done if it's a known fact.
From Cambridge Dictionary:
We don’t need to change the tense in indirect speech if what a person said is still true or relevant or has not happened yet. This often happens when someone talks about the future, or when someone uses the present simple, present continuous or present perfect in their original words.