Bulk Rename Utility for Windows will let you find all .jpg files in all subdirectories, and append the directory name to the beginning of the file which should make them sort properly. It's a tremendously awesome tool if you take the time to figure it out.
For converting, epub would probably work. Calibre lets you choose the output format with a list of devices, choosing Tablet (I think that's what it calls it) will convert without resizing images, thus maintaining the full image quality. If the files are properly named though cbz/cbr is the way to go with comics, Kobo's reader works really well - fast, fullscreen, and nice rendering. Avoid mobi, Kobo doesn't handle them very well. I always convert mobi to epub.