Thanks immensely Ofnuts, as is often the case you were right onto the solution. 
Many people don't know that by including an alpha mask file it's possible to have JPGs with transparency. The reason for my 'problem' is that it takes many hours to render over 4,000 PNGs without having a render farm. It's much faster to render JPGs with their Alpha JPGs. Then converting them into a series of alpha channel PNGs means they can be opened with Gimp or even video editors. The only cost is more disk space but this only temporary.
I experimented with your code and used this which works on Ubuntu 18.04:
for f in *_alpha.jpg; do b=$(basename $f _alpha.jpg); composite -compose copy_opacity ${b}_alpha.jpg $b.jpg $b.png;done
The output program (Mandelbulber2) uses particular filenames and ImageMagick 'compose' wants the alpha.jpg before the standard jpg.
All I have to do is purge the JPG's and I can 'open as layers' in Gimp. Opening in Gimp is memory dependent and with 12Gb ram I can open about 500 layers at a time.
Again, thank you very much I am so happy you solved my problem in 2 hours
Many people don't know that by including an alpha mask file it's possible to have JPGs with transparency. The reason for my 'problem' is that it takes many hours to render over 4,000 PNGs without having a render farm. It's much faster to render JPGs with their Alpha JPGs. Then converting them into a series of alpha channel PNGs means they can be opened with Gimp or even video editors. The only cost is more disk space but this only temporary.
I experimented with your code and used this which works on Ubuntu 18.04:
for f in *_alpha.jpg; do b=$(basename $f _alpha.jpg); composite -compose copy_opacity ${b}_alpha.jpg $b.jpg $b.png;done
The output program (Mandelbulber2) uses particular filenames and ImageMagick 'compose' wants the alpha.jpg before the standard jpg.
All I have to do is purge the JPG's and I can 'open as layers' in Gimp. Opening in Gimp is memory dependent and with 12Gb ram I can open about 500 layers at a time.
Again, thank you very much I am so happy you solved my problem in 2 hours