To convert to a single PDF can be done in a single command:
convert -compress jpeg *.jpg my-jpegs.pdf
Remember to include the -compress jpeg flag, or it'll store the images uncompressed and result in a massive PDF.
ImageMagick (via convert) requires Ghostscript (gs) to be installed in order to process PDFs I believe. Beware of memory issues if you are adding a lot of JPEGs at once.
As for your logical ordering, you can use ls in combination with convert to get the list in order.
Something along the lines of:
convert -compress jpeg `ls *.png` my-jpegs.pdf
See ls --help for the various sorting options available.