A lot of users try to import some .jpg pictures (for example logos) to their CAD drawings. This can usually be done through some import function found in the respective CAD software.
Another possibility, albeit very strange one, would be to try to actually convert JPEG image (.jpg, .jpeg) as a DWG drawing. This may be potentially useful for tracing or presentation, but the results are typically far from spectacular and actually mostly poor. Some graphics programs (especially those that deal with vector graphics) may be of help here.