Lightroom itself doesn't do this. It's philosophy, for better or worse, is for you to import everything and then cull out the ones you don't want.
There may be a plug-in that does this, I'll let the plug-in experts speak about that.
Why put them in the same folder if it causes problems for you? Seems like you could solve your own problem just by not putting JPGs and PSDs in the same folder.
This is the OP on my home profile, and that ship has already sailed. Both work and home, there are thousands of images together. I could explain why but its not important at this point, and I need it that way for my on-disk organization.
I'm looking at this omission as a huge time-waster. Why import a bunch of files that you are going to immediately turn around and delete?
At home I'm working on transitioning from Aperture, and so far I am not impressed with LR. It does some things better but has a lot of holes. My Aperture catalog is over 155,000 images.
At work, I am dealing with legacy images and have been trying to use Bridge to organize things, that's been slow going as well. I'm trying to decide if the DAM features in Lightroom make it worth importing everything.
This plug-in may work for what you're doing, based solely on the screenshot that shows a list of extensions to import, as I have not used it: robcole.com - OttomanicImporter
The author posts on here quite a bit as well, so you can PM him and ask any further questions, offline.
If this is in a single folder or only a handful, then I'd probably just move the non-JPGs somewhere outside of the folder, temporarily, so LR cannot see them, do the import, then move the non-JPGs back. There might be some way to make the images invisible to LR using security, as well, though I'm not a Mac person so don't; have any specific advice.