They're all ambiguous and could all be used to mean that you were the one wearing the dress. You could arguably also use all those constructions if Jane was wearing the dress but that meaning wouldn't be easy to parse.
Consider that if you strip away the modifiers, what you're left with is
I went to the party.
It's not particularly important to the base sentence who you went there with or what anyone was wearing; the crux of what you're saying is that there was a party, and you attended it.
Now you can add modifiers which change the manner in which you went to the party. You could for example say
I went to the party with Jane.
And the listener will know who accompanied you to the party. Or
I went to the party in a blue dress.
And the listener will know that you were wearing a blue dress when you went there. The problem with
I went to the party with Jane in a blue dress.
Is that it isn't clear whether you're using two modifiers for "I went to the party" or whether "in a blue dress" is modifying "Jane". The former is the more likely parsing.
If you wanted to convey that Jane was the one in the dress, you would want to phrase it as
I went to the party with Jane[,] who was wearing a blue dress.
Now we have no modifier ambiguity. You couldn't say this as
I went to the party who was wearing a blue dress.
so it's immediately obvious that this modifier is affecting Jane.