This week's book giveaway is in the OCAJP forum. We're giving away four copies of OCA Java SE 8 Programmer I Study Guide 1Z0-808 and have Jeanne Boyarsky & Scott Selikoff on-line! See this thread for details.
It probably depends on the implementation of the server. Your code should not make any assumptions.
In WebSphere if the WAR and EJBs are deployed in the same server, then the JSP thread will call directly into the EJB container and it will run the EJB code there. However, if the WAR is deployed in a separate server (e.g. in the web tier) then of course the JSP's thread cannot be used (it does not exist in the EJB server). In that case the EJB is run with a container thread and the JSP thread is blocked (waiting) in the RMI call.
Other vendors (e.g. WebLogic) may behave differently when both containers are in the same JVM. When they are separate JVMs, the same thread cannot be used no matter the vendor.