I don't see how using a BMP would've taken a hit on RAM; it needs to decompress the JPEG to display on the screen anyway, after all.
So, after they're loaded and (possibly) scaled to fit the screen, I'd expect every background image to use exactly the same memory amount.
Well, not centered or tiled backgrounds, which I recall Windows did support, and upscaling could be done on a per-pixel basis (although I don't know if that was supported), but yes, the image format shouldn't matter.
Back when win95 and co were being made, decoding an image was a lot of work for the hardware, I suspect they'll try to make restoring the background (e.g. dragging a window around and changing what's occluded) to be the simplest bitblt they can.