I've figured out how to create an animated jpeg of a 4 page PDF.
Are you sure that is not a actually an animated .gif file. If it is a jpeg, how did you do it?
Do you want the 4 images in one image, perhaps like a "chinese scroll" one below the other? You can do this in jpeg format using Gimp.
Or do you want to be able to click something and go to the next page?
Never seen this in jpeg but of course it is possible in tiff format, that is what a multi-page fax document is. Of course you need a viewer application to display it.
Or do you want to make a slideshow of the images?
A few applications will do this with jpeg (or any other format). If you want everything in a single package, then again not jpeg, but maybe a video format, or in windoze, I think an .exe file. (a distant memory, I'll have to look it up).
I had a quick look and there was a reference on a Mac site to a multi-page jpeg but it vague and anyway I'm linux based (with a bit of windoze) and Mac is another world.
I still think the best format is going to be tiff. Very easily done on the command line using Imagemagick http://www.imagemagick.org/
convert <image>.jpg <another_image>.jpeg <another_image>.jpeg multi.tiff
or you can go straight from your pdf with
convert -verbose <file>.pdf multi.tif
A quick test and as with a pdf, gimp will allow you to select a page.
Viewing - Irfanview works and will page up and down.
More digging and what you need for multipage 'jpg' is a branch of jpeg2000 - jpm format. see http://www.jpeg.org/jpeg2000/j2kpart6.html
I very rarely come across a j2k, have never come across a .jpm AFAIK Gimp does not handle these files.
Again IrfanView documentation says it will view/convert, The plugin is payware & I can't see any option to convert several images into one jpm file. I can't get it to work, maybe someone else can.