That is a LOT of jpegs! (Time-lapse by any chance?)
You can import them straight into Premiere, but to make the import smoother (and more likely to be successful) I would:
1. Resize them beforehand, to match the project dimensions, using a batch resizer.
2. Determine in advance (before importing them into the Premiere project) the duration I want each jpeg to be on the timeline, and setting Premiere's still image settings accordingly.
3. Import the photos in batches of 500, saving the project in between each run.
I'd avoid using an intermediary jpeg to avi creator unless it could produce an AVI file of the format that I either wanted to edit or produce in.
Just another thought - Premiere may not like the AVI file that JPEGAvi created for you because it did not match Premiere's project settings. Check that they match, particularly on resolution and frame rate.
Premiere can be fussy. Windows Movie Maker not so. An alternative is to try to import the AVI into a Movie Maker project before exporting as a (Premiere-friendly) DVI AVI file.