Hey sorry, I kind of lost track of this thread.
If you just want to use it as a backdrop all you need to do is save it as a .TGA or anything Unreal can import. If you also want to use it as a cubemap in the skylight then you need to import it as a .EXR or .HDRI, but all I’m saying is it might not get the same super high quality image based lighting that you might get from a sky that has been professionally photographed at multiple exposures, like the ones I linked earlier. Based on your original post, it seems the jpegs that your photographer gives you are high enough resolution (you mentioned something around 25000 x 12500), so all you need to do is downsize that to 8192x8192, and import it. If you need even higher resolution after that, you will need to look at splitting your image up into tiles, and using some kind of custom skybox mesh, but an 8K skydome is usually good enough.