It makes sense that the Python code would store the screen shot as a .png (most likely) or .jpg (maybe). The python code needs to communicate the name of the file it saved back to JMP, or simpler, maybe JMP can tell the Python program where to save the screen shot. That would typically be done with command line options you could pass in with RunProgram.
The next step is to load the saved file in JMP; you can use
img = newimage("c:/...screenshot.png");
to open the image and
newwindow("captured image", img);
to display it, and
matrix = img<<getpixels;
to grab the pixels into a matrix you can work with.
Craige