It can only be done in Lightroom Classic.It’s a personal choice. You won’t get any more data but many like the efficiency of a DNG container for exporting jpeg or HEIC files. PSD is another option from Photoshop.
You really do NOT want to do this. There is no point. You cannot go back to the raw data so all that happens is that the jpeg data will be embedded in a dng container. This offers no advantages in storing Lightroom settings, and no advantages in being able to exchange the files. Jpeg files store xmp edit settings inside their metadata areas just like dngs do.
P.S. there is a commercial product called jpeg-to-raw-ai from topazlabs (https://topazlabs.com/jpeg-to-raw-ai/ ) that claims to be able to generate higher quality raw-like data from jpegs. I haven't tried it so I don't know how good that is. Apparently it uses artifical intelligence in machine learning to figure out the artifacts introduced when the jpeg was originally created and estimates back higher quality data. That is serious bladerunner like magic but in all likelyhood quite limited and nothing like the "enhance" thing from Bladerunner.