It makes no sense to pronounce "jpeg" as "jay-peg" because the 'P' in Joint Photographic Experts Group clearly makes a sound like the 'F' does in 'fell'. Saying it like "j-feg" is more correct.
It's just flatout wrong to say it makes no sense because an acronym is pronounced as a word, not an abbreviation of its words. AIDS isn't pronounced "awh-ids", NASA isn't pronounced "N-eh-sa".