As a Windows user, the LNK files you have are just shortcuts, they are just pointer files to the actual files/folders... They are not JPEG files that you were trying to save... They will only work while you have the drive connected to the Windows computer...
It seems to me that what you did is select/highlight the files/folders then selected send to [create shortcut] by mistake which is what is showing on your screenshot... What you should have done is performed a manual copy of the files/folders and copied to your flash/external drive...
Where are the files/photos located? Are they saved on the local or cloud storage?
Once you have determined which folders the files/photos you want to copy are located, open File Explorer [macOS counterpart of Finder] and highlight/select all the files/folders that you want to copy and then either open a new File Explorer window for the flash/external drive and select paste...
The drive was formatted as FAT32... If there are files larger than 4GB, they will not be saved to your flash/external drive... Another possibility that only LNK files, also known as shortcuts (pointer files) in Windows, show in your drive, your Windows computer may have been infected with malware and the flash/external drive as well...
Since you have filename extensions enabled on Finder, once you have the correct files/folders saved, it should be similar to the screenshot on the link below... Instead of PNG, they should show as JPEG if that is the file extension...
How to quickly find all screenshots on your Mac