"By default, when an application calls DriverManager.getConnection(url, ...) and the database specified in the URL does not yet exist, a new (empty) database is created."—H2 Database.
Addendum: @Thomas Mueller shows how to Execute SQL on Connection, but I sometimes just create and populate in the code, as suggested below.
import java.sql.Connection;
import java.sql.DriverManager;
import java.sql.ResultSet;
import java.sql.Statement;
/** @see http://stackoverflow.com/questions/5225700 */
public class H2MemTest {
    public static void main(String[] args) throws Exception {
        Connection conn = DriverManager.getConnection("jdbc:h2:mem:", "sa", "");
        Statement st = conn.createStatement();
        st.execute("create table customer(id integer, name varchar(10))");
        st.execute("insert into customer values (1, 'Thomas')");
        Statement stmt = conn.createStatement();
        ResultSet rset = stmt.executeQuery("select name from customer");
        while (rset.next()) {
            String name = rset.getString(1);
            System.out.println(name);
        }
    }
}