Problem with rollback

Hello,

I have this query

DECLARE @TransactionName varchar(20) = 'inlinefunctionTransaction';
begin tran @TransactionName
 select * from jsp('S1','P1');
ROLLBACK TRAN @TransactionName;
go

but when executing it I get a message

Cannot roll back inlinefunctionTransaction. No transaction or savepoint of that name was found. 

Can anybody explin me please what's going wrong?

Thanks