Native, quite reasonably, means the application is compiled to the CPU's native machine code. Take as an example the distinction between Java and native apps on Android.
What is a VM but an intermediate portability layer? That's what VMs are made for, to be able to run the same VM code on different machines or different OSs without having to recompile. You don't use the OS's APIs directly from Java or NET, that's the whole point of the exercise. And if you find a way to do it anyway, you have defeated the purpose of the VM and could as well have compiled to native code.
JVM is a virtual machine with its own instruction set. Java code is compiled to this instruction set and not the actual's CPUs instruction set, hence not native.