Microsoft Visio supports export to JPEG format, albeit it saves as .jpg not .jpeg. You will need to rename the suffix from jpg to jpeg should you really need it, but overall vsdx to jpeg conversion is certainly possible.
Alternatively, you can try to use some other program with Visio format support, but it's usually better to use the native program as 3rd party program may have problem with latest proprietary and closed formats, such as VSDX.