For me capitalizing .JPG did not help. I found saving from photoshop in the JPEG Options dialogue box, I set the quality to 12 (Maximum) and changed the format options to Baseline (“Standard”).
After I posted yesterday I did find a strange solution for my problem. In each case the audio was coming from a nested comp that had at one point had a proxy video rendered for it but was now disabled. Once I set each nested comp’s proxy to “none” audio magically appeared in the export. (it has been present in RAM previews the whole time.
Did you ever happen to solve this problem? It just cropped up for me using AE CS5.5 on OS X 10.6.8. Of course, right at the end of a project, 7 comps all with no audio.