JPEG is a still photo format. Are you sure that's what you want?
Most likely you want to use Export & Share/Disc to output a DVD.
The player is able to use the following disks-DVD-video, DVD-RW,DVD-R,CD-RW,CD-R and it says playable files JPEG. When I put the DVD in a pop up said "Playback not available". So I called Funai and talked to someone there. They said Jpeg, which does not make sense to me, as I play movies on the player. Do you have any ideas?
The problem you are facing is not clear. Are you unable to burn your video into DVD? could you share the screen shot of the error you are facing?
Below are few help links to Export your Video.
Yes, the disc player can play JPEG slideshows. But that's not what you're trying to do.
You've been adding video files (MPEGs and MP4s) to a disc. This will not create a DVD.
To create a DVD, you need to use Export & Share/To Disc with the DVD option selected.