1 – Convert all the jpg files into pdf files with ImageMagick :

$ for i in *.jpg; do convert $i $i.pdf; done

2 – Merge, concantenate, join all the pdf files into one with pdftk :

$ pdftk *.pdf cat output output.pdf

Note : convert from ImageMagick won’t work if there are too many files or too little memory :

$ convert *.jpg output.pdf