There is a way if you are on linux. You would have to write a filesystem driver (which actually isn't that difficult, see http://fuse.sourceforge.net/) and have that filesystem transparently watermark the jpgs.

But probably you were hoping for an easier solution. Here is an untested idea: You could use the apache module mod_rewrite (if you are using apache that is) to change all jpeg links to call a script instead, i.e.:

http://yourserver/a/b/thing.jpg
# gets rewritten as
http://yourserver/watermarkscript.cgi?file=/a/b/thing.jpg
[download]

Then just write the watermarkscript.cgi that outputs the right watermarked image to STDOUT