He was known to freestyle on his acoustic guitar to Kingdom songs. Don't know about a band.
It never crossed my mind that anyone would ever want to "jam" to Kingdom Songs. Anytime I've picked up a guitar or sat at a piano, it's the last choice of music on my mind.
Somewhere in his book he mentions that he brought along his guitar his mum's service and performed his version of "Life Without End At Last"
Every time I hear this I have visions of the scene from The Office (the proper, UK one), where David Brent goes home to get his guitar (and derails the training course):