There are a couple of ways to add a consist to the list shown in Quick Drive, the one suggested by the manual is rather esoteric and I've never quite figured it out.

The way I use is to select a route I am relatively familiar with and then Create Session. I then use the Trains tab (bottom right or 'F7' key) and hunt through the long list of stuff for what I want.
If you type CNJ in the box at the top of the list you will find the G3s Black and Tender as well as the P47 and Tender.
Now if you want you can add an assortment of freight or passenger cars to the loco and then simply save the session as... whatever. Then Open your new session and away you go.
Or you can add it to the consist list/Quick Drive list by clicking on the large button on the top right Train Mode or 'C' key, next click on the Get Consist button (small bottom left or 'G' key) and click anywhere on your train.
A pop-up box will show up asking for a name for the consist and once you name it, it will show up in the Quick Drive menu. You won't have to save the session in this case.
Have fun!
Edit: BTW there are no "black livery" passenger cars, just the two engines/tenders. I didn't look to hard but I don't believe there is much rolling stock for the CNJ.
Edit again: Turns out there is some stuff for Jersey Central Lines.
Here is what you do. Go into the Content Manager (Content from the main menu) and enter jersey in the box below Search. You will see quite a collection of rolling stock, the stuff from majekear is very nice. Also do a search for CNJ and there is some more stuff, some will work and some will not.
Finally, there is Jersey City Northern V3 Route, it's a bit old and has some broken dependencies but looks OK in my book.