EDIT: I see now that you already know jpackage, but you don't want an installer. In that case you can use launch4j, which just wraps a jar in an exe: https://launch4j.sourceforge.net/
I find the whole situation a bit silly, bc obviously it's creating an executable under the hood somewhere. The official tools just don't expose it to you.
I think what I could do is to run the installers on all target systems and then pull out the executables manually. I just think that'd be a bit difficult/annoying to make as part of a CI system
If I remember correctly, you can't just pull out the exe created by jpackage, because it doesn't contain the runtime. The installer installs both the runtime and the exe. The exe created by Launch4j also doesn't include the runtime, but Launch4j is better at finding a system-wide runtime, and can direct the user to a specific download site (such as adoptium.net) instead of java.com. If you want to have JUST a single exe, then I think GraalVM's native image is the only option.
Some day they'll integrate cosmopolitan builds with Graal native and we'll come full circle to cross-platform executables haha