There is a bug with Paramiko SSH & ProxyJump for Ansible 2.11: ansible-collections/ansible.netcommon#296 To workaround it set additional environment variable:
export ANSIBLE_PARAMIKO_PROXY_COMMAND='ssh -W %h:%p [email protected]'
ansible-playbook cloudgw/1_ovirt_vm.yml -e storage_domain=zby_ceph_iscsi_lun01