Exporting jpeg files with clipping path from Photoshop 2024

Hi, I am using Photoshop 2024 on a Windows PC. I need to export a set of jpeg files with clipping paths, but am struggling to do this.

For example after using the pen tool to create the path, the tutorials I've looked at say to use Save As to save as jpeg. But I don't get jpeg as a file format option. Only in Export As do I get the jpeg option, which I've done.

If I reopen the jpeg after exporting it in Photoshop, there is no path data retained. I've also tried testing the output in Indesign, but don't get an option to use the Photoshop Clipping Path.

The output is for use in another application that isn't Adobe and requires it in a jpeg format, to retain transparency. PNG is not supported.

It would be great to have step by step instructions on how to do this on a Windows PC. I'm not a designer so only know the basics of Photoshop!

Greatful for any advice.

Best wishes

Reeza