If it is very close consider using a Meyer's hub or similar to raise the connector up to 1" away from the panel so it can clamp on the cable.
If it is further away than 1" you could insall a (supported) conduit nipple with the SE connector on the end of it. No need for a J-box. It will be ugly but it will satisfy the Code requirement for physical protection.
Here's my worry. It is not legal to unsheath a cable and use its individual conductors in place of THHN wire, mainly because those individual conductors are not marked/listed as such. Would this count as that naughty thing, or would it be OK because it is shch a short hop?
Actually, they may not be individually marked but they are listed and the cable is marked. Here is an excerpt from the 2015 UL White Book:
SERVICE CABLE (TXKT)
SERVICE-ENTRANCE CABLE (TYLZ)
This category covers service-entrance cable designated Type SE and Type USE for use in accordance with Article 338 of ANSI/NFPA 70, ‘‘National Electrical Code’’ (NEC).
Service-entrance cable, rated 600 V, is certified in sizes 14 AWG and larger for copper, and 12 AWG and larger for aluminum or copper-clad aluminum.
The cable is designated as follows:
Type SE — Indicates cable for aboveground installation. Both the individual insulated conductors and the outer jacket or finish of Type SE are suitable for use where exposed to sun. Type SE cable contains Type RHW, RHW-2, XHHW, XHHW-2, THWN or THWN-2 conductors. Maximum size is 4/0 AWG copper or 300 kcmil aluminum or copper-clad aluminum.
The exact type of wire would depend on the manufacturer and should be labeled on the packaging and sheath.
Good luck with your project!