As a general answer to your question:

Option 1 - You can do it by selecting "multiple destinations" and booking it as four different legs.

Option 2 - Two separate round trips, with one occurring "inside" the other. (Extra tidbit - This is called nesting tickets and some airlines have policies against doing it all on the same carrier, but if you do it with separate airlines, it's not an issue.)

In your case, you can only book Jetblue on their own website, so you can't use option 1.

And welcome to FT...