Are you using gradle? The Initialiser will produce a gradle template that bundles the JRE (if you ask it to)
No I’m not using Gradle. I’m still developing with old 3.2.4 JME.
I tried to update my JME but new versions doesn’t support .scene models. I still export from blender the oldschool way with Ogre exporter to .scene files then importing the models to the JME.
I guess that is no longer how the models are made 
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You can go to OpenLogic to get a OpenJDK JRE you can bundle with the game. Also, you can try using Packr to help you make the executable and bundle the JRE.
I used this method when I published Depthris on Steam
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| Feature | jpackage | Packr |
|---|---|---|
| Origin | Official JDK tool (since Java 14) | Third-party library (libGDX community) |
| JRE Handling | Creates minimal JRE using jlink |
Bundles an existing JRE |
| Output Size | Smaller (due to jlink) |
Larger |
| Features | More advanced features | Simpler, fewer features |
| Ease of Use | Can be more complex (command-line) | Simpler for basic use cases |
| Build Tool Integration | Maven, Gradle plugins available | Requires manual configuration or build script integration |
| Maintenance | Maintained by OpenJDK/Oracle | Maintained by the libGDX community |
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This is very interesting feedback.
Thank you for the comparisons.
I make use of Packr, however I need a solution that can work / executed from code.
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I will look at jpackage for my next project a little deeper. I had issues with it before specially after obfuscating my jar file (user issue). Packr worked easier for me and with better results than launch4j.
I am also looking into construo and graalvm
I like jpackage mostly because I set it up once with a gradle plugin and never have to think about it again.
./gradlew platformDistribution
…done. 
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