It's not very elegant, but you could use 'a2ps' to convert the JPEGs to PostScript, then use ps2pdf to convert the PostScript to PDF.
a2ps -o out.ps inputjpeg.jpg
That will leave you with a PDF called out.pdf
You'll have to look at the man pages for both programs to fine tune the presentation, but it does work.
You'll also have to have ImageMajick installed to do the conversion from JPEG to PostScript. (It's probably installed already).