Well, Mike Hale has done just that. He's tweaked the Image Processor script to add support for exporting CMYK JPEGs as CMYK, as well as support for exporting PNG images. You can download his modified script here. To install the script:
1. Unzip the downloaded file. Rename the Image Processor CS4 PNG.jsx file to Image Processor.jsx
2. In your Adobe Photoshop CS4/Presets/Scripts/ folder, move the file Image Processor.jsx into another folder somewhere as a backup
3. Copy the Image Processor.jsx file from step 1 into the Adobe Photoshop CS4/Presets/Scripts folder.
You can access the Image Processor script from either File > Scripts > Image Processor in Photoshop, or, better yet, from Tools > Photoshop > Image Processor in Bridge.
Another script for exporting CMYK JPEG images is the Dr. Brown's Services collection of scripts from Adobe's own Russell Brown. The Dr. Brown 1-2-3 Process script that's included with the collection allows you to not only export CMYK JPEGs as CMYK, but also to convert RGB to CYMK or vice versa while exporting.