Is there a lib which support .jpeg file with "RGBA" mode?

[Peter Hansen]

google12 wrote:
> 
> Ann... I had tried to use Photoshop 7 to save a .png file with transparency
> as a .jpg file, and the transparency will be kept in the .jpg file.

If JPEG doesn't support transparency, then clearly that couldn't have happened,
or Photoshop uses a non-standard JPEG format.  

Perhaps Photoshop "transparently" (no pun intended) saves the alpha data
to some other location, but magically restores it when you reload the .jpg?

(How have you confirmed that the data is really stored in the .jpg file
and not somewhere else?)