According to the Debian Wiki, you can't boot a Debian Live based on Jessie on a UEFI system:
UEFI support in live images At this point, UEFI support exists only in Debian's installation images. The accompanying live images do not have support for UEFI boot, as the live-build software used to generate them still does not include it. Hopefully the debian-live developers will add this important feature soon.
Some people really needed it, though, so I kept looking.
Here's a script that takes a Jessie Debian Live .iso file and the device name
for a USB pendrive, and gives you a pendrive that boots on UEFI:
#!/bin/sh
# License: do what you want but it's not my fault, I told you not to.
sh -ue
ISO=${1:?"Usage: $0 file.iso usbdev"}
DEV=${2:?"Usage: $0 file.iso usbdev"}
parted -s $DEV mklabel gpt mkpart primary fat32 1 100%
mkfs.vfat ${DEV}1
mount ${DEV}1 /mnt
bsdtar -C /mnt -xf $ISO
mkdir -p /mnt/efi/boot
# Shell.efi comes from https://svn.code.sf.net/p/edk2/code/trunk/edk2/ShellBinPkg/UefiShell/X64/
cp Shell.efi /mnt/efi/boot/Bootx64.efi
echo 'live\vmlinuz initrd=live\initrd.img append boot=live components' > /mnt/startup.nsh
umount /mnt
Only use it if you really need it, though: Stretch will support this out of the box, and it's coming soon.