It should be possible use JPEG pictures (.jpg, .jpeg) and convert them to any kind of embroidery design file, for example .sew files, you will just need a specialized embroider software for that. For example Janome Digitizer program has the capability to make embroidery designs from common JPEG pictures and can also generate .sew files, so it's the obvious choice for jpeg to sew conversion through its digitizing function.
Open JPEG file Open SEW fileAn embroidery designs manager
An embroidery design tool from Janome
An easy embroidery and apparel decoration design software