A SCP Connection needs to be established, but a connection to a host with WinSCP is not possible, because no direct access is available. But a jump in SSH server is reachable from your PC and the jump in SSH server has access to the desired server.
There is a firewall or another restriction between your local PC and the machine you want to scp to. No direct connection can be established. For example you’re on the road and the file server’s SSH port in your home or office is not accessible from the internet. But another machine at your site, which can access the file server is running SSH accessible from the internet.