The build-in screenshot tool of Gnome Shell 42 does not expose options to change the default file format (nor the default save location). Your only option will be to convert the file yourself.

Note that .jpg is a lossy format. Some visual information is thrown away during compressing, and artifacts may reveal, especially when dealing with line art. .png, in contrast, is lossless, so preserves the information exactly. It may also be more efficient for screenshots with lines and solid graphics. .jpg is more space efficient for photos with lots of shades and gradients.