There's a relatively easy way to do that, but it has its downsides.
Set up your camera in one of the P-A-S-M modes with the settings you want. Go to Shooting Menu -> Image Quality and select JPEG (or do it with the "QUAL" button and rotating the rear command dial, doesn't matter). Then go to Setup Menu -> Save User Settings -> Save to U2 (you can do the same with U1, but U2 is closer to P-S-A-M on the dial). Then go back to Shooting Menu -> Image Quality and select NEF (or do it with "QUAL" again).
This way you effectively have two "banks" of settings (e.g. one in U2 and one in A) that are exactly the same except for that one writes files in JPEG, the other - in NEF.
The downsides are that while you're in U1/U2, the settings you make are only retained as long as you stay in that mode (unless you go to the menu and save them explicitly like you did). If you are sure that you won't be changing settings too much and only want to switch from JPEG to NEF, you can do the same thing and only use U1 in conjunction with U2 (and not U2 in conjunction with P-S-A-M) - this will be easier to do with your eye to the viewfinder. You can blame Nikon for putting the "Effects" mode just in between P-S-A-M and U1/U2. Some might not care, but it's annoying me (and this example explained why) - I find it is very handy on the D7000 and D600 to have just one click from M to U2 and I can nag to Nikon about that forever.
P.S. I think it's understandable for Nikon to not implement that - it's reasonable to normally shoot JPEG and occasionally want NEF here and there, but if you're shooting NEF, you basically can have the same JPEG exported from it. The only advantage of JPEG would be if you want to quickly offload a card and publish something.