There is a reference to Jim Hercules in the book 'The Court of the Last Tsar' by Greg King published by Wiley [2006]. He states that Jim was born to "former slaves in the American South in 1867" (page 126). He became a boxer and moved to New York before touring Europe and settling in London. His link to Russia came through a meeting with the Empress Marie Feodorovna (presumably when she was visiting her sister, Princess Alexandra in London), who invited him to the Russian Court. There is a photo of him on page 128.

There is a good description of what Jim Hercules did at the Russian court.