Existential crisis here

[Jojoya]

I could be misremembering here... but I could have sworn at one point in the Heavensward story she even shows us that she has the third eye. But that also might just be me assuming it was there because of the way she wears her hair and circlet to potentially cover it up.

She does. It's on the airship iin Sea of Clouds when she talked about how she came to server Aymeric. Her circlet is definitely there to hide the eye just as Cid hides his with his goggles.