i have used graalvm to create native executables. It is surprisingly easy.
But due the nature of B4x you won't be able to create a 100% native executable, you will be able to create one that requires the jdk (i guess the jre would be sufficient) to run.
This tool need MS VS C++ Build Tools and Win10 SDK that would take up around 7GB to download and install. I give up.
I read a bit about jPackage and not sure it does something similar or still an experimental tool.
Better stick back to B4J compile and B4JPackager tool.