Or more broadly, how can a government have jurisdiction over anything, or anyone? The answer is fundamentally: by force.
For example, if I point a gun at you, I've just established the same kind of "jurisdiction" over your wallet. Because otherwise you'd just refrain from giving it to me.
But isn't it great that a "privacy watchdog" is limiting the privacy invasions Facebook can inflict on us, while surveilling us themselves, and funding their operations with money that's forcefully taken from us? It's like, heart-warming!
(They've established "jurisdiction" over our incomes!)