You are correct.
The Spanish J is pronounced a bit like an H.
Tecnically speaking it is a voiceless velar fricative and only exists in English in the word loch said with a Scottish accent.
Voiceless means the larynx is not vibrating.
Velar refers to the back of the mouth, almost in the throat.
Fricative means a sound made by vibrarions due to air being forced through a small space.
For an English speaker this may be a bit dificult to do perfectly and in the case of pronouncing Nerja
you may find it easier to say it with a K saying Nerka.
If you say Nerja with a K Spanish people will understand you but it is still not quite right.
To say it correctly you have to say Nair - ha not Nair - ka
Spanish pronunciation is not that difficult but unless you are a native speaker you will always sound like a "guirri"
(a "guirri" is the Spanish slang word for a foreigner. It is only very mildly offensive)
To learn Spanish pronunciation it is best to have a look at a prounciation guide which has real sounds
There is one here.http://lingolex.com/pronounce/