You can do it on a Mac, it just works differently. Instead of choosing Open As, you choose File > Open and then in the Open dialog box, you select your JPEG and then choose Camera Raw from the Format pop-up menu near the bottom.
The difference might be because the Open dialog is one of the places where Photoshop meets the operating system, so Adobe probably is working with what each OS gives it.
Thank you Conrad. Solves the mystery!