What does "give someone the jumps" mean?

While reading Algernon Blackwood’s "The Willows" I came across this phrase. Here is the context:
«"And, for Heaven’s sake," I went on, "don’t keep pretending you hear things, because it only gives me the jumps, and there’s nothing to hear but the river and this cursed old thundering wind."»
I suppose it means to annoy or to irritate someone, but I’m not sure. Could you help me, please?

Edit: There’s a phrase "get a jump on sb/sth" in the Camridge Dictionary that means "to start doing something before other people start, or before something happens, in order to win an advantage for yourself". But it’s quite different from my assumption I made here.