How to convert a directory of jpg files to a pdf with filenames as bookmarks?

I have a directory of jpg files that are scans of my handwritten notes. How do I convert them to a single pdf file that has the filenames as bookmarks? (I eventually also want to add ocr. As mentioned online, we can convert the .jpg files to a .pdf using img2pdf .jp --output combined.pdf, and then we can add ocr using ocrmypdf combined.pdf combined_ocr.pdf. My question is mainly about how to also make sure the pdf file has bookmarks (created from filenames) so that the document is easy to navigate.)