Here's what happens:
The story opens up with Jericho losing the title at Royal Rumble to HHH (surprise, surprise). The following weeks up to Wrestlemania involves Jericho doing Jericho things like stealing the belt, beating people up in locker rooms, calling people funny names, and assaulting people. Oh but hey! Since Stephanie and Vince are the GM in the game, they force you to give the belt back... and you do get your match after getting the #1 contender. So in the final match, you do everything you can, but you end up losing anyway... or at least it seemed that way. I restarted the match a couple of times (the story ends successfully with you losing the belt while losing any other match earlier requires you to restart and win). I did like 4 codebreakers at one point but he still breaks out of the pins. He also did 3 pedigree's to me.