Cold atmospheric plasma (CAP) in open air hosts numerous chemical species engaged in thousands of chemical reactions. Comprehensive diagnosis of its chemical composition is important across various fields from medicine, where reactive oxygen and nitrogen play key roles, to surface modification. In applications, a centimeter-scale helium-air jet operates for minutes, featuring micrometer-sized streamers and an atmospheric pressure-induced collision frequency in the hundreds of GHz range. To address this intricate multi-scale issue, we introduce a machine learning approach: using a physics-informed neural network (PINN) to tackle the multi-scale complexities inherent in predicting the complete list of species concentrations, gas temperature, and electron temperature of a CAP jet supplied with a mixture of helium and air. Experimental measurements of O3, N2O, and NO2 concentrations downstream of the plasma jet, combined with fundamental physics laws, the conservation of mass and charge, constrain the PINN, enabling it to predict the concentrations of all species that are not available from the experiment, along with gas and electron temperatures. The results, therefore, obey all the physical laws we provided and can have a chemical balance with the measured concentrations. This methodology holds promise for describing and potentially regulating complex systems with limited experimental datasets.