But if you gave us the model number of your TV device, that you are using to "play" these DVDs, that would be better.
JPG is just the most typical of picture formats. Not being able to support "lossless JPEG" (by the way, JPG and JPEG are just different acronyms for the same format) may be that it expects JPG on the filename, and many "lossless JPEG" images MAY have JP2 on the end. OR the image decoders in your device may just not handle "lossless JPEG" images. I can't say, for sure, because I don't know what your device is.
One other reason you may be having with trying to read your images on your burned disk is that you may have your images in a folder or sub-folder, a data structure that your device, perhaps, can not delve into. Your images may need to be at the root (the top level directory) of your disk. OR your device may require that your images be in a particular folder structure and/or name.
Again, if you tell us what your device is, perhaps someone here can research your owner's manual.