Hi,
I think the only way you'd be able to do it would be to use a pc sequencer to create the style tracks, then use EMC's import function to turn it into a style..

I used to use the import / export function in EMC to event list edit converted user styles for my sd1. Certainly not an ideal method, but at least it was something.
The SD1+ had the advantage of being able to record styles onboard or the option of recording style parts via midi thru a pc sequencer but Midjay I don't beleive has this option.
best wishes
Rikki