It is likely the structure of the data in the JPEG file and not related to metadata or EXIF information.
I’m not fimiliar with lightroom specifically, but when you save JPEGs there are options for things like ‘optimization’, ‘huffman encoding’, ‘progressive’, etc. Try disabling all of those. Your camera probably only knows how to deal with a specific set of parameters for the JPEG. Lightroom will have used a JPEG formatting parameter that isn’t compatible with your camera.
In Photoshop the ‘optimization’ option has to do with how it arranges the huffman codes. A non-standard set of optimized huffman codes can make the file smaller, but won’t be compatible with some proprietary devices.
The only way to tell for sure is to experiment by saving various JPEGs to the card with different settings. Good luck.