That’s curious. When the .dll is in the target jar, the copy local trick should do exactly the same as passing it via the command line. You can still use a custom start executable in Java, but then it will pass the arguments in two env vars:
JRE_HOME
JAVA_OPTS
You’d need to create a batch file like:
@echo off
%JRE_HOME%\bin\java %JAVA_OPTS% -Djava.class.path=.... -jar myjar.jar
and use that as “Start application”