If you actually have an image of a (not a photo) and need a PFX: This requires OCR (Optical Character Recognition) and manual creation.
If you were told you need a PFX file for a logo (e.g., for a shirt), you cannot "convert" it directly with a simple click because a JPG is a flat image (raster), and embroidery files are sets of needle instructions (vector/path). Spiceworks Community The "Fix": Most professionals use the format, which is universal for embroidery. What to do: You likely need to "digitize" the image. Tools like Ink/Stitch
Another image format sometimes confused with PFX. You can use tools like Vertopal for this.