photoshop – Best way to process an HDR image from JPEGs

By far the simplest way is to use an HDR-specific app or plugin.

I’ve used both Aurora HDR & the old (used to be freeware) Nik Collection plugin HDR Efex Pro 2, both with reasonable degree of success. Both can take either a single input image or a bracketed set of exposures – even hand-held so long as there’s not too much movement, as they will auto-align.
No doubt there are many alternatives to those you could try too.

Photoshop itself I’ve always thought to be quite poor at HDR compared to these dedicated apps. I don’t use Lightroom, but I can’t imagine it being a great deal better.