Again, why Java? The only language that both iOS, Windows Phone and Android support is C. I am not sure about C++ on iOS, I've heard about Objective C++, but it's not pure C++ AFAIK. I think that niether WP, nor iOS support the Java runtime, so you'll be able to only make your engine work in Android, unless you have a Java implementation in C that compiles on all platforms (and include it in your code base). This is possible with .NET (Mono), and that is why engines and frameworks allow you to "script" in c#/boo.
Edit: Start with the platform where you have a physical device. When you do phone apps, nothing compares when you can actially play with your creation on a real phone. If you've got multiple phones, start with the one you like the best