for i in $(ls ~/Directory/*.jpg); do convert -verbose $i $(basename ${i%.jpg}).pdf ; done;
The above converts all jpegs into individual pdf pages. Convert will connect them together for you, but unless you have a huge amount of memory it will fail.
pdftk *.pdf cat output newdoc.pdf
The above here combines all of the pdf pages into one document. Instead of using wildcard you could take the time to arrange the pages as you see fit.