It's no different to writing any other compiler for Language X in Language X, and that's a really common thing to do. The Java compiler emits files containing Java Bytecode which are subsequently run by a different invocation of the JVM.
That's what it does.
With Graal, it's possible to write a JVM in Java, but the JVM doesn't depend on another JVM to run, and the way it runs bytecode isn't the way it was compiled in the first place. It's not really self-hosted in the same way that a compiler can be.