[Is there a way to make JPEG the default save format?]

No.

Here's why: jpeg is a "lossy" format. That is, every time you open a jpeg and save it, you're losing quality. This is like making a photocopy of a photocopy, etc.

PNG and PDN, on the other hand, are exact formats. You can open and save them as often as you like without losing a single pixel of quality.

So, paint.net defaults to PNG format for single layer images and PDN for multiple layer projects. If you want to save as jpeg, you need to choose it by hand. This ensures that you won't lose quality in your image unless you specifically choose to do so.

Yet it would be more convenient to be able to choose the file type by default ...