Comment by orthoxerox

There was a Lua[JIT] fork called Idle that seems to have fallen off the face of the Earth that did exactly that: it would take a small stub program, a runtime library and all the scripts and package them into a single PE/COFF binary that would read itself when run.

Love2D does it as well: zip -9 -r SuperGame.love . cat love.exe SuperGame.love > SuperGame.exe

This doesn't work with ELF files, though.