jpeg will never have Transparent, that is the nature of a jpeg file. If you wish to have a Transparent background you have to use a png file for the web. The problem that you have is you are using a Vector program (Illustrator) with a Pixel program (Photoshop).
When working with a vector program it's saved as a postscript file such as eps or pdf and therefore is resolution independent. You can export from Illustrator as a jpeg but it becomes a pixel file or Photoshop file.
You are working back to front.
You need to finish your vector work (Illustrator) and send it to Photoshop to complete the work. That way you can take out the background and create whatever you wish.
Illustrator is not for web work it's for Print and can be saved as eps or pdf. Photoshop is for both Web and Print, the only difference here is resolution.