He was stopped in our fair county by DPS. he does not have a license or any identification, but tells the officer that he lives in Dallas now, and has for months. A check of the system reveals that he has not registered in Dallas, nor anywhere in Texas. Do we have jurisdiction here to file under CCP 62.101, or do we need to refer to Dallas?

The duty to register is violated by failure to timely register in the county where the sex offender "resides or intends to reside for more than seven days." art. 62.051(a). The "general" venue rule of art. 13.18 does not apply to this offense. See art. 13.31. It seems arguable that subsection (4) of that statute might apply to your facts.

Of course, even if venue were improper in Van Zandt County, that would not deprive the 294th of jurisdiction. Ex parte Watson, 601 S.W.2d 350.

But, why take the chance of a challenge to venue? Refer the case for investigation to Dallas County and let them decide whether it can be proved or should be prosecuted. That's what makes the most sense to me.