It appears that Java doesn't create EXE files like BlitzMax, am I right?
In a very narrow sense, yes, it doesn't create EXE files. If you also mean that it doesn't produce compiled, standalone, runnable code then no, because it does do all those things.
Anyways, is there a way to get Java and Blitz to work together, such as running Java codes/class thingys in a Blitz code.
There are always ways, but nothing very practical springs to mind. I would have expected someone to want to do it the other way around to be honest. Use some BlitzMax stuff in Java to get all the language extras that Java has, sure, but I can't really see any purpose in the opposite since BlitzMax doesn't have half of the language features Java has, and couldn't directly interface with most of the ones it does.
PS: Is there any advantages of Java over Blitz?
Java works on more platforms than Blitz. It's probably faster than Blitz. Because it's JIT compiled, it's probably going to produce more efficient code than Blitz too. The language has a lot of features BlitzMax doesn't have ( and could benefit from. ) Java is considerably more Object Oriented, with java programmers generally being very, very fond of their interfaces and templates and their design patterns. BlitzMax doesn't have interfaces or templates, and I'm not sure if it will ever have.