Both JPG/JPEG and CGM images are fairly well supported in graphics editors and converters, so it should be pretty easy to convert between them each other.
Convert JPEG bitmap image format to Computer graphics metafile.
We have found 3 software records in our database eligible for .jpeg to .cgm file format conversion.
Microsoft Windows software - convert jpeg to cgm on Windows
A set of applications used by professional graphic designers
Convert from jpeg file format
The tables with software actions are a good pointer for what a certain program does with various file types and often may give users a good hint how to perform certain file conversion, for example the above-mentioned jpeg to cgm. However, it is not perfect and sometimes can show results which are not really usable because of how certain programs work with files and the possible conversion is thus actually not possible at all.
A CAD CGM converter
Multiplatform software - convert jpeg to cgm on any platform
A popular utility for viewing and converting graphic files