JPEG = the compression algorithm (Joint Photographic Experts Group)
JFIF = the file format (JPEG File Interchange Format)
Effectively when you mention jpeg/jpg you are actually talking about JPEG/JFIF, although there is a spec for JPEG/TIFF and JPEG/EXIF (usually digital photos is where you’ll see these)
A lot of the time whatever produces the EXIF file will also include what JFIF parsers need to decode properly, so it is transparent to the end user, but not entirely a “valid” and “to spec” EXIF file.
For internet use and transmission the default is JFIF, but not all jpegs are necessarily JFIF when you look under the covers.