We are running Jenkins on a server that does not have internet access (even through proxy). Installing and keeping the Jenkins installation up-to-date is a pain!
My idea
Where is the issue in downloading the war file manually, stopping the server, replacing the war, and starting the server again? The same is true for Plugins.
if I think about it, there is probably a better way, by having a sandbox Jenkins on a system that has access to the internet. You update the server using the UI and then you can test that updated Jenkins thoroughly. When done, you just need to copy the war and hpi files over to your 'production' Jenkins. now you have even a nice process and QA in place.