The reason is that you are bundling the "mods" from the SDK, which don't have the native libraries in them (in the SDK, we have jars and native libs).
You can download the JavaFX modules as jmods, including classes and native libs. See https://gluonhq.com/products/javafx/ and download the mods (instead of the SDK).
Next, point jlink to the mods directory (assuming you unpacked them in /opt)

jlink --module-path /opt/java/jmods:/opt/javafx-jmods-11:build/hellomodule --add-modules hellomodule --launcher start=hellomodule/com.ameus.Main --output dist

On Linux, I got it working like this, and I expect it to work similar on the other platforms.

We should document this.