Due to the CLDC specificatoin Java Native Interface (JNI) is not supported. So,you can't call natve methods from a midlet.
"Support for JNI was eliminated mainly because of two reasons:
1) the limited security model provided by CLDC assumes that the set of native functions must be closed.
2) the full implementation of JNI was considered too expensive given the strict memory constraints of CLDC target devices"
If we are talking about Wireless Messaging API enabled mobile phone,
then, if the SMS is sent to the certain specified port number received by this mobile.
Then Java MIDlet can get the SMS message from the inbox,
if this MIDlet is registered this port number of its use.