convert -page A4 image.jpg out.pdf
The resulting PDF would simply embed the jpeg image making it only a few Kb larger. However now with v6.5.4 of ImageMagick the default behaviour with this command is to uncompress the jpeg and store it in a lossless format. In my case, a scanned A4 page jumped from 150Kb to 7Mb.
Given the lack of documentation on ImageMagicks output format settings, it took a bit of experimenting to find the new command to embed a jpeg is:
convert -page A4 -compress jpeg image.jpg out.pdf
The additional compress option reproduces the original results.
This is part of a larger custom bash shell script that automates "one click" scanning of sequential paper pages into a PDF on ubuntu. Simple, fixed settings, no messing around.