Every format your browser can open
JPG and PNG are the obvious ones. The interesting cases are the newer formats: WebP, AVIF, and the HEIC files an iPhone produces by default. None of those can go into a PDF directly, and most converters either reject them or ask you to convert twice.
This tool decodes whatever your browser can display and re-encodes it into something a PDF can hold — JPEG normally, PNG when the image has real transparency worth keeping. The check for transparency is a sample of the alpha channel rather than a guess from the file extension, because a PNG screenshot with no transparency is far smaller as a JPEG and there is no reason to make your document bigger than it needs to be. HEIC support depends on your browser: Safari decodes it natively, and on other browsers an iPhone will usually have converted the file to JPEG when you exported it.
Page size is a local question
This is where most international tools quietly get it wrong. The United States and Canada print on Letter, which is 8.5 by 11 inches. The United Kingdom and Australia print on A4, which is 210 by 297 millimetres. They are close enough to look interchangeable on screen and different enough that a document made for one comes out with wrong margins, or a warning dialog, on the other.
The page size here is preselected from the country in the site header, so a visitor in Manchester gets A4 and a visitor in Denver gets Letter without either of them having to think about it. Change the country and the default follows. If you would rather not have a paper size at all — for a comic, a set of screenshots, or anything that will only ever be read on a screen — choose "match each image exactly" and every page takes its own dimensions.
Orientation, margins and what happens to the image
Left on automatic, each page turns to match its picture: landscape photos get landscape pages, portrait photos get portrait ones. That is almost always what you want for a mixed set from a phone. Force one orientation when the result has to be printed and bound.
Images are scaled to fit inside the margin, never cropped and never stretched, so a photo keeps its proportions and simply sits centred with white space on two sides. The picture itself is re-encoded once, at high quality — enough that the difference is invisible at normal viewing sizes, and enough that a set of phone photos does not produce a PDF too large to email.
If the images are photographs of documents rather than photographs of things, run the result through OCR afterwards to make the text searchable, and consider compressing if you are emailing more than a handful of pages.