You can import JPEG (or PNG) image to SketchUp with the default import function. What it does is to place the image as 2D in a 3D environment, for example as a texture for one side a of a cube or something similar, which can then be saved as a whole in SKP format. It is not actual conversion, more of importing data.
Convert JPEG bitmap image format to SketchUp graphics.
We have found 3 software records in our database eligible for .jpg to .skp file format conversion.
Microsoft Windows software - convert jpg to skp on Windows
A 3D general-purpose modeling program
Convert from jpg 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 jpg to skp. 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 3D CAD translation softwate
An application for the planning of spaces and furnishings