how do you convert a java fxml file to a exe for windows without jre closed?

To make an .exe installer for a Java application, use the jpackage tool that comes with recent JDKs.

See https://docs.oracle.com/en/java/javase/14/docs/specs/man/jpackage.html

It will also bundle the JRE so everything is self-contained. This is actually the preferred way to distribute Java applications. jpackage can use the jlink tool to make a stripped down JRE, or you can provide a JRE image that you have already created (with jlink).