why don't you use "shatter" or some dynamic effect like that, over a 3d sphere directly which will break it up into volumetric pieces........ just like a stone !!
Because that would give a shattered look, not a jigsaw.
You could try modeling the pieces flat, like a normal jigsaw puzzle. Say 40x20, or something like that, making sure that the pieces on the end of each row and column will interlock with the other end, if wrapped around. (See the ASCII picture below) Then select the entire puzzle, and use two nonlinear bend deformers to wrap it into a sphere. Adjust the poles if needed.
Example of interlocking pieces on rows:
._|..........._|
|_...........|_
...|.............|
Imagination is more important than knowledge.