Insert URL into a jpeg

You can't do that. JPEG does not hold URL's. You can only create HTML, showing the image (or part of the image) as a link.

A link can contain an image, but an image can't contain a link.  https://www.w3schools.com/tags/tag_a.asp

This is impossible. There is nowhere INSIDE a JPEG to put a URL. 

HOWEVER, in a web page, you can add a link including a JPEG on the web page, which might be all you need. 

In an email, look at the features of the Email HTML app you use.

You can do that for making a say - Clickable email signature in Photoshop - using the slice tools, but you'll end up with an HTML file not a JPEG.

Anyway, even if you could, as Mylenium said, the social media websites will strip any external data from the images (In effect, they are creating a copy of your image and display that copy, so no metadata, no extra stuff, nothing)
That said, on Instagram, you can add links as stickers, but in Stories only. I don't know for the other SM platforms.

Images cannot have embedded links and that is that. And it wouldn't work, anyway. As soon as you upload an image to a social web site it gets processed on the server and your link would be replaced with their tracking code, which kind of is the point. They want to know who clicks on your images and where the links go to.

Mylenium