I looked at the sample in the Calibre ebook viewer, and it appears that the Direct Jump feature is implemented with invisible text at the beginning of each verse. That's the reason why each verse is indented. You can see the invisible text in Calibre by doing a search (it highlights the found text) or doing a click-and-sweep with the mouse over the blank space before each verse.
I'm not familiar with the Mobipocket development tools, so I'm not sure how invisible text is specified in the input file markup. From what I can gather looking at the developer's information
here, the compiler appears to take HTML as input, so it can't be all that difficult.
Of course, I'm assuming here that the Mobipocket tools were used for this. I believe that Calibre can also convert HTML to .mobi, which is good for us Linux and Mac users, but I haven't tried this yet.