In Java 7, yes. You can point the shortcut to c:\windows\system32\java.exe or javaw.exe as appropriate and include the same arguments you would use on the command line.
In a clean Java 8 installation, not easily. Unfortunately Java 8 no longer puts copies java.exe and javaw.exe into the system folder, but instead puts symbolic links in a ProgramData folder. Windows doesn't like shortcuts to symbolic links; sometimes they work, sometimes they don't. (Even the same shortcut might work for some user accounts but not for others.)
(It seems that if you install Java 8 over top of Java 7 it retains the old behaviour, but I haven't investigated this thoroughly yet.)
This simple launcher may be useful; you can create one or more shortcuts to it with the same command line parameters you would have used in the shortcut to javaw.exe.
wchar_t * cmdline = GetCommandLineW();
if (!CreateProcess(L"C:\\ProgramData\\Oracle\\Java\\javapath\\javaw.exe", cmdline, NULL, NULL, FALSE, 0, NULL, NULL, &si, &pi))
MessageBox(NULL, L"Unable to launch Java.", L"runjava.exe", MB_OK);
Buffer Security Check to No in C/C++ Code Generation
Ignore All Default Libraries to Yes in Linker Input
Entry Point to NoCRTMain in Linker Advanced
(Or you can change the main function from NoCRTMain to WinMain, but then you need to install the C runtime or link it statically.)
Additional: in Windows 10, if you have two Start Menu shortcuts pointing to the same executable, only one of them will be visible in the Start Menu. So in this case you need to have multiple copies of the launcher, one for each shortcut.
I'm using Java SE 7. Can I just create a link to .jar without java.exe?
@leolegas: a simple link to a jar file seems to work, both in Java 7 and Java 8. I've never tried doing it that way, I don't know whether adding arguments will work as expected.