A database is an external resource such as Access, Oracle, SQL Server, MySQL, and JDBC is used to connect to these data sources, so you cannot, by definition, "store data on db inside java program".
You can however store data inside a class instance, while that class is instantiated, in many forms, such as a DOM, Array, Hash etc. But if you want this data to persist outside your program life-cycle, then it must be stored externally somewhere, either on a file system, or in a database.