Unfortunately there is not.
You'll have to export the jpg as adobeRGB or sRGB (which btw is really really clues to Rec.709 HD color space)
Is there some option in PP to tell it that I am using ProPhoto RGB JPGs so that PP will interpret the Color gamut correctly?
Nope. As Rallymax said, sRGB is your best bet to match gamut to Rec.709.
Stills aren't any different than the video in one respect -- you'll want to check a waveform monitor and tweak your still to get black and white points and contrast correct, and you'll want to check a vectorscope to make sure your colors are "broadcast legal" as well.
There is another consideration, when addressing the problem that you see: Photoshop & Lightroom are Color Managed Workspace programs, and with proper calibration, will allow output to be printed exactly as seen on the computer's monitor. Premiere is NOT a Color Managed Workspace. As CFG pointed out, you will want to "manage" your Video with the Waveform Monitor. Most people, outputting for broadcast use an attached calibrated broadcast monitor, and not their computer's monitor(s), to check that final output.
Thanks to all for the replies.
This makes sense.
I will refrain from using ProPhotoRGB JPGs in a PP timeline.
Thanks again for the rapid replies. These Adobe Forums are great.