Dont' think so. Photos, in JPEG, GIF or any other form, do not support hyperlinks by themselves.
I think the only option you have is doing it in html somehow. However, it is not that hard to do.
You can give them hyperlinking qualities in a webpage by embedding them inside <A> (anchor) tags.
It is also possible to give an whole image mapping qualities, so that different areas link to different hyperlinks. Some developers will also split an image to two or more components inside a table, and then embed each portion with an <A> tag.
I hope I answered your question.