Not really: Julia doesn’t use a shell to run a program. It just runs the program directly.
With
run(`echo hello`)
you ask Julia to execute the program echo (Windows will look for echo.exe, echo.com, etc.) with argument hello. This program exists on Linux but not on Windows.
With
run(`cmd /k echo hello`)
you ask Julia to execute the program cmd with arguments /k, echo and hello. The program cmd.exe is actually a shell so that will execute a shell 