Yes, it do support it.

$db_conf = array();
$db_conf["type"] = "mysqli"; // <<<<<<<<<<<<<<<<<<< set mysqli here
$db_conf["server"] = "localhost";
$db_conf["user"] = "root";
$db_conf["password"] = "";
$db_conf["database"] = "griddemo";

$g = new jqgrid($db_conf);

This database layer is supported in premium version.