You can find an overview of the data and live API loaders on the website or in your PRODIGY_README.html, available for download with Prodigy. The README also includes more detailed API docs for each individual loader, including how to call it from Python in your own recipe scripts.
Except for the Reddit and Images loader, Prodigy currently expect the input data to be single files – so maybe that was the problem? Alternatively, you can also check the "Input formats" section of the README, which lists the expected formats of the individual file types supported by Prodigy.
If you don't specify a --loader on the command line, the appropriate loader will be selected based on the file extension. So if your file is called data.jsonl, Prodigy should use the JSONL loader.
(Btw, there's currently an open feature request for allowing data loading from directories – if this would be useful to you as well, we could make this happen for a future release.)