The apostle Jude was believed to be from the Jewish tribe of Judah. And after the ascension of Jesus, Jude was one of the first apostles to leave Jerusalem for a foreign country. In fact, it is believed that Jude was one of the first apostles to witness directly to a foreign king, a Gentile.
Jude is believed to have evangelized the area of Armenia associated with the city of Edessa, in company perhaps of the apostle Bartholomew, and for a brief time, with the apostle Thomas. One can, also, believe that Jude spent his years of evangelization in Syria and northern Persia. It is likely that he was martyred there and buried in Kara Kalisa near the Caspian Sea, about 40 miles from Tabriz, in modern day Iran.
The information above is compiled from the book "The Search for the Twelve Apostles" by William Steuart McBirnie Ph.D, Copyright 1973