Want to make changes to Screen Shots

I was recently made aware of a way to do quick screen captures bypressing the Windows button, and then the PrtScr button. It creates a PNG image of what was on the screen and stores it in the Pictures folder in a folder labeled Screenshots. Is there a way of adjusting this feature so that it creates the image in JPEG format instead of PNG? Also, could I have the images saved to a different location? Most apps have settings that allow things like these to be changed, but I haven’t noticed what app the Screen Shots feature is a part of.

Using Snip & Sketch then select New, select the area then click the floppy disk icon and will be given the choice under the filename box as to type.