There is the original image, and there is data about what the label is for various regions. What are you hoping the png or jpg image to be like?
The only way to add additional data channels (such as a record of were each region is and what the corresponding label is) to JPEG files is to add EXIF information, which is something that MATLAB cannot do directly. For PNG files the methods are much more obscure and difficult to write to png files.
