One of the strangest preserves I've ever had the privilege of keeping in my house. A friend of mine who goes to Texas fairly often brought me back a jar of the stuff three or four years ago. I have no intention of opening this jar.
The cactus in the jelly (according to the jar, at least) is the Nopales, the prickly pear cactus which is etible (obviously), has an asparagus-like flavor, and cooks like okra.
Based on the ingredients, Cactus Jelly (at least in the jar I have, made by a company called Serendipity of the Valley) contains mostly sugar and water, followed by the actual cactus. It also contains: Pineapple Juice (presumably for flavor), Pectin (a binding agent and the active ingredient in Luden's cough drops), and Citric Acid. It also contains assorted dyes (Blue #1 and Yellow #5), to create that olive green color that screams CACTUS.
Although I've never seen it, I'm fairly sure that Cactus Jelly is available to adventurous tourists in quite a few gift shops in the Southwest.