I've created uclouvain/openjpeg#1529 as the first step in saving JP2 CMYK images.

Without the colour specification box of JP2, it doesn't seem possible to have a CMYK J2K image.

https://community.intel.com/t5/Intel-Integrated-Performance/JPEG2000-and-CMYK-Data-Not-RGB/td-p/862891

JPEG 2000 encoding doesn't support CMYK coding, mostly because it's an extension of JP2 file container (part 2 of the standard)

https://newsgroup.xnview.com/viewtopic.php?t=29274

the JPEG-2000 standard does not specify any means for encoding color space information in a JPEG-2000 code stream, the decoder must make certain assupmtions about the color space of an image. If accurate color representation is important, the JPEG-2000 code stream format should not be employed. The JPEG-2000 JP2 format should be used instead.

OpenJPEG 2.5.3 has now been released, so I've created #8592 to add CMYK JP2 saving.

#8591 has updated the version that Pillow uses in wheels, but if you install Pillow some other way, then you should note that this will need OpenJPEG 2.5.3 to be installed.