CG4 files are raster images in so called CALS GROUP IV image format, which has been introduced decades ago and nowadays is pretty much rarely supported.
One of the tools that still can work with .cg4 files CorelDRAW that can import these bitmaps as objects and potentially export the results as JPEG files, which is what cg4 to jpg conversion represents.
Perhaps some graphics converters with broad format support support CALS formats as well, unfortunately we do not know about any that do at the moment.