I don’t use MathLink.jl now, but my note when I did use it says
The README of MathLink.jl says to set JULIA_MATHLINK to the path of the library named “libML64.dll/libML32.dll on Windows”, but in my environment I had to set it to the path of ml64i4.dll.
I set the environment variable as follows:
JULIA_MATHKERNEL = C:\Program Files\Wolfram Research\Wolfram Engine\12.0\MathKernel.exe
JULIA_MATHLINK = C:\Program Files\Wolfram Research\Wolfram Engine\12.0\SystemFiles\Links\MathLink\DeveloperKit\Windows-x86-64\SystemAdditions\ml64i4.dll