This has nothing to do with jQuery Mobile.
You can't really make an "app" from just a website. To make a real "app", you need some native code, and you either need to put it in an app store or (for some devices) have users "side load" it. You can use PhoneGap/Cordova to make a real app. It can be as simple as putting your HTML content in a project directory and then building the native app with provided tools.
SOME browsers will save a copy of your site using the "application cache". You need to write a manifest file. Here's an intro:
But, danger lurks! There is a move afoot to remove support for the application cache, and at least one browser has already removed it. Notice the warning at top of the page:
I'm not sure that Service Workers are really a good alternative to the Application Cache.
I think, perhaps, the Application Cache is an idea whose time has come and gone. It was central to Apple's misguided first iPhone implementation, which did not provide any means of installing native 3rd-party apps. Steve Jobs was usually right about things. iPhone 1, he was wrong about. But the company quickly changed directions when it did not catch-on.
If you do intend to make a real app, each app store (Apple, Android) will provide instructions on making a link to your app in their app store.