Is it wrong to be jealous that my friend is engaged?

It's okay. You just have to remember that you and your boyfriend are doing what's best for you as a couple, and who gets engaged first ultimately doesn't matter as much as how the marriage turns out...which, in her case, does not sound like cause for optimism. Frankly, as her friend, I would set aside the jealousy and the joking and encourage her to think about whether this is really what she wants. (If she says yes, at least you've tried.)