NBC anchor Megyn Kelly’s plan to air an interview with right-wing provocateur Alex Jones has caused a firestorm to erupt on social media, but so far advertisers have remained quiet—with at least one notable exception.

J.P. Morgan Chase JPM 0.87% & Co. has asked for its local TV ads and digital ads to be removed from Ms. Kelly’s show and from all NBC news programming until after the show airs, according to a person familiar with the matter. The company doesn’t want any of its ads to appear adjacent to any promotions for the interview, the person added.

NBC declined to comment.

On Monday, Kristin Lemkau, J.P. Morgan’s chief marketing officer, questioned why Ms. Kelly would conduct the interview. “As an advertiser, I’m repulsed that @megynkelly would give a second of airtime to someone who says Sandy Hook and Aurora are hoaxes,” she tweeted.

Ms. Kelly’s interview with Mr. Jones—the radio host, founder of the Infowars website and well-known conspiracy theorist who has previously called the 2012 massacre at Sandy Hook Elementary School a hoax—is scheduled to air Sunday on her NBC News magazine show, “Sunday Night with Megyn Kelly.” Ms. Kelly left Fox News earlier this year for NBC, where her new show will be airing only its third episode this coming Sunday.

The interview drew harsh criticism from the families of victims of the Sandy Hook massacre on social media, with people using hashtags like #shameonNBC to express their outrage. The school shooting four and a half years ago left 20 children and six staffers dead.

On his radio program Monday, Mr. Jones said that he thinks Sandy Hook happened, or at least that children died, though there are anomalies about the event. However, he said that was edited from the NBC promotion. “I’m tired of being misrepresented,” Mr. Jones said. Mr. Jones demanded Ms. Kelly’s “hit piece” not air on Father’s Day.

NBC News declined to comment on Mr. Jones’ remarks.

The sit-down has been promoted as a discussion about “controversies and conspiracies.” In a video promoting the interview, Mr. Jones talks about the 9/11 attacks as an “inside job.” In the clip, Ms. Kelly also brings up Sandy Hook, saying: “When you say parents faked their children’s deaths, people get very angry.” Mr. Jones replies: “But they don’t get angry about half-a-million dead Iraqis from the sanctions.”

Ms. Kelly defended the interview Sunday night on Twitter, saying that viewers need to understand who Mr. Jones is because President Donald Trump has appeared on his show and praised Mr. Jones. Plus, she notes that Infowars has received a White House press credential. “Many don’t know him; our job is 2 shine a light,” she tweeted.

Other NBC advertisers have stayed mum on the planned episode, at least publicly.

Sleeping Giants, the anonymous Twitter account known for shaming marketers into pulling their ads from sites like Breitbart News, criticized the NBC interview as a “naked grab for ratings.” While the account said advertisers will know to avoid the show, it said it wasn’t launching an active campaign to go after the program’s sponsors.

—Joe Flint contributed to this article.

Write to Suzanne Vranica at suzanne.vranica@wsj.com