Consider 1 Corinthians 11:
"3)Now I want you to realize that the
head of every man is Christ, and the
head of the woman is man, and the
head of Christ is God. 4) Every man
who prays or prophesies with his
head covered dishonors his head. 5)
And every woman who prays or
prophesies with her head uncovered
dishonors her head—it is just as
though her head were shaved. 6) If a
woman does not cover her head, she
should have her hair cut off; and if it
is a disgrace for a woman to have her
hair cut or shaved off, she should
cover her head. 7) A man ought not
to cover his head, since he is the
image and glory of God; but the
woman is the glory of man. For
man did not come from woman, but
woman from man; 9) neither was
man created for woman, but woman
for man. 10) For this reason, and
because of the angels, the woman
ought to have a sign of authority on
her head.

Well the Jews wear a Yarmulke whilst praying. Jesus was a Jew so he would have covered his head.