CMX is a special raster exchange format used in Corel Presentation, part of CorelDRAW Graphics Suite. Other Corel software might support this format as well, but typically only for import. In case of jpg to cmx conversion, this is probably related to export of previews or objects from the Presentations so these can be used in CorelDRAW for example.
Unfortunately, no sources about this particular conversion exist, so if you for some reason struggle with this export, your only option is to reach out to Corel support or online community.
Updated: October 17, 2023