1998 GMC Jimmy won't start

Fuel pump relay or relay socket is bad. Could also be the wiring from the relay to the harness.

The way that system (and many GMs) operate is.
You turn on the key, this starts a timer in the ECM. The timer turns on the fuel pump for 2 seconds to pressurize the system. If you turned the key to start this cycle also continues but the switch also triggers the relay to turn on the pump. Then once the engine fires and you release the key and oil pressure comes up a switch in the oil pressure senor also closes and powers the pump.

In your case the relay isn't working. The starting fluid allows the engine to fire and start enough to develop oil pressure enough to trip the OP switch on. Then the engine runs.

The relay is under the hood and is a common part (the horn relay is the same type) Also check the socket the relay plugs into. If the pump is starting to fail it can draw some extra power and that causes the relay to break down. It can also cause the connections to the harness to weaken and fail.