I have to support Android Studio on this topic.
I imported the Android dependencies using Gradle. Using an Android harness and a SimpleApplication (I actually have a normal Application running as well, for crash reporting purposes) I can create a game using ANdroid Studio. USB (and over TCP/IP) debugging works fine, I can see the log.
And setup instructions (the basic set):
New project -> Empty activity (you will see why later)
Delete the .xml layout, open the activity
Replace Activity (or AppCompatActivity) with AndroidHarness (meaning extend a different class)
Create a class extending SimpleApplication
Override the methods
Add objects and start creating JME games on ANdroid
As for USB debugging, that is the normal setup (developer settings -> usb debugging) or over wifi.