"ja" as an adverb/particle means approximately "as you know", sometimes it can be translated "after all". The idea is that he assumes they already know about him not being alone, he's just reminding them of this. It does make sense without the "ja", but doesn't have the nuance that they're already supposed to know this.

It's complicated to explain, but the "ja" means something like "after all", as in "I'm not alone, after all".

In this context I'd translate it as "But I am not alone!"
It needs that specific intonation that doesn't transmit well in text-format, though, so the English version of the comic probably uses some other phrasing instead.