The UrJTAG uses a libtool wrapper for starting, so debugging with GDB is a bit tricky.

You should debug the src/apps/jtag/.libs/lt-jtag binary.
But it does not appears right after building it, the wrapper script creates it if not exists.
So ran ./src/apps/jtag/jtag first.

Figuring out taken me some time, I hope it will helps someone.

So execute

gdb ./src/apps/jtag/.libs/lt-jtag

in the trunk and enjoy debugging .