@zamman welcome to the FusionAuth community!
FusionAuth doesn't support JWEs at this time. If you wanted to encrypt some data in your JWT, you could use a JWT populate Lambda, as long as the encryption algorithm can be implemented in straight javascript embedded in the lambda (you cannot pull in third party libraries). This MIT licensed code might work; I haven't tested it though. That's not going to create a full fledged JWE, but may suit your needs.
We don't have JWE support on our near term roadmap (you can learn more about our roadmap here). If this is a feature you need to have in a set schedule and are willing to spend money to get, please feel free to contact us about our professional services.
Alternatively, please file a feature request in our github issues list with an explanation of the use case. We draw from these feature requests based on community support as indicated by upvotes.