Convert JPEG to SKP

You can certainly import JPEG pictures (.jpg, .jpeg) SketchUp with the default import function. What jpeg to skp conversion does, is to place the image as 2D in a 3D environment, for example as a texture for one side a of a cube or similar, which can then be saved as .skp graphics. It is not actual conversion, more of importing data. Some other 3D modeling tools or converters can also be helpful here, but the best result is typically with the original program.