I have a folder of JPG files but Dolphin only shows previews for some of them.

If I look at the properties of the images that work it shows they are of Type 'JPEG image' however the files that don't have a preview show Type as 'JPEG image' and in addition Contents as 'PCX image'.

All the files display with no problem in Gwenview, Okular etc.

Any idea why Dolphin cannot show previews of these files?

This is likely because the thumbnail generator may not support PCX files ( or doesn't know it can, and will only generate thumbnails for those it definitely knows it can )