Some programs might be able to create icons from JPEG images. However you should look for a conversion to a specific format, such as ICO.
Convert JPEG bitmap image format to Icon image file.
We have found 3 software records in our database eligible for .jpeg to .icon file format conversion.
Microsoft Windows software - convert jpeg to icon on Windows
A free graphics and photo editor and authoring tool
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 icon. 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.
Apple macOS / Mac OS X software - convert jpeg to icon on OS X
Mac version of the popular graphics editor
Linux/Unix software - convert jpeg to icon on Linux
GNU Image Manipulation Program