Take a look at the AFPRSC keyword on an AFP-capable print file DDS V7R1. http://publib.boulder.ibm.com/infocenter/iseries/v7r1m0/topic/rzakd/rzakdmstafprsc.htm
A file with a .jpg extension is typically a jpeg image contained in a JFIF file format. AFPRSC directly supports this format.
Most likely you're going to have to use Host Print Transform to get this to a printer. I'd think HPT and any HP-PCL variant would work.
I know with PAGSEG's resolution to the actual object happened at print writer time. That is, the spool file would be created and hang around in the outq without ever fetching the image, then the print writer would find and merge in the file. In other words, don't expect to run the RPG to the print file and then delete the image file; it needs to hang around until the print writer runs.
I haven't had a chance to play with AFPRSC yet, myself, but it promises to do just what you want. It looks pretty simple, supply a name, a type, position, and a path to find the file. You may also add size and some scale-to-fit mapping options.