Well, it’s actually adjusting the peanut, but it is snagging the food out of midair, so “catching” is technically correct. The blue jay originally grabbed the peanut horizontally in its bill. Jays prefer to carry peanuts lengthwise, so this jay tossed the nut into the air and caught it in the desired position.
The reasons may differ, but it is similar to how osprey carry their prey. Ospreys typically emerge from a successful dive with a fish horizontally in its talons. While flying away, the “fish hawk” will adjust the fish to a more aerodynamic lengthwise position.