You can import JPEG files to Zoner Callisto as objects to a new or existing document by using the Insert function. The software supports dozens of different raster file types for such exports, but always as objects as the software primarily deals with vector graphics. So yes, jpg to zmf conversion is doable, but only for the purpose of importing object.
Although Zoner focuses on the Photo Studio now, you can still download Zoner Callisto from the developers website.