C:\sqlcl-21.3\sqlcl\bin>sql.exe
Error occurred during initialization of VM
Could not reserve enough space for 2097152KB object heap
I have lots of spare ram, running java 1.8.252.
Had the same issue with 21.2 initially until they patched it:
https://community.oracle.com/tech/developers/discussion/4486331/sqlcl-21-2-on-windows-wont-load/p1?new=1