How do you install the gem? With gem install or with sudo gem install?
Also, I’d advise you to use a Gemfile if possible, so that you can bundle exec .. your ruby script, which ensures that all the gems from the Gemfile are available; or alternatively use the Ruby Script runner with optional Gemfile support step instead of the Script step, where you can specify both the (ruby) script content and a Gemfile content, and the step will make it sure that the gems declared in the Gemfile input are available (essentially it bundle install && bundle exec .. it for you).