The lisp runtime may fit in 20 MB, but not every language's runtime is so compressible. It may be smaller if one used something like C#/.NET where it's reasonable to assume, on windows, that everyone has specific common versions of the runtime laying around.
And then there are things like libraries. How dependent on the state of the OS do you want to be? Do you bring your own copy of SDL, or do you rely on it being installed? Even choice of graphics library can make a big difference, did you use something like DirectX which the OS will have all ready for you (assuming it supports it of course), or do you use something like OpenGL/Vulkan and invariably have to bring your own copies of various things like shader compilers and texture compression libraries.
In this case it's because it packages it's own copy of the JRE (which makes up more than 2/3rds of the contents). Which makes plain the greatest failure of Java, it was never a universal execution environment. Which is why every program ships their own copy of it and users no longer complain about "Update Java" notifications, or dealing with incompatible Java environments.
[1]: https://docs.oracle.com/en/java/javase/11/tools/jlink.html