GnuCOBOL will get you compiled. If you have an old 8086 box there was MS-COBOL and MS-ISAM.
The substitute for JCL will be a script or batch file, presuming you are not coding screens in a CICS-like manner. This will not help you to learn JCL. As Brian says, the J switch will give you CLG (compile link and go) functionality in lieu of IGYWCLG.
So if you are running Linux (or WSL on Windows10), you want a shell script.
For earlier versions of windows you want .cmd or .bat.
This is a means to an end. Substitute awk, cut, sort etc. for IEBGENER, DFSORT and the like. Use touch and rm for IEFBR14 DISP functions.
#!/bin/bash
# delete file, could use variables for filenames.
touch outfile.dat && rm outfile.dat
# execute cobol program, could be in path, /usr/bin say.
./myprog parm1 parm2 parm3
# sort output file
sort outfile.dat -o outfile.dat
I have successfully ported a production z/OS Job stream to Ubuntu, and also to AIX, and the monolithic nature of JCL translates well to scripts.
For scheduling, scripts can be nested, and conditions can be emulated with semaphore files/tokens.