How do I copy jpeg from download folder to photo app?

You could simply drag the JPEG from the Download folder onto the Photos icon in the Dock.

Or launch Photos, then drag the JPOEG from the Downloads folder directly into the open Photos window - you could drag it into the sidebar with the albums onto one of the albums you created yourself to add it to the album you want it to appear in.

When you download a photo from a website you can ctrl-click it on the web site and use the command "Add to Photos". Then it will be automatically be imported to Photos.

You can also use the File->Add to Library