Hi Johny,
You should be able to connect with the KE02 using your Jlink Pro. All you need to do is connect it to the SWD pins on your microcontroller.

The image above shows the SWD pins position in a Jlink Pro 20-pin connector. You need to do the following connections:
JLink Pin MCU Pin
SWDIO --> SWD_DIO
SWCLK --> SWD_CLK
RESET --> RESET
VTref --> VDD
GND --> VSS
If needed, configure your Jlink to communicate through SWD (it typically detects it automatically)
Hope it helps
Saludos