This complaint comes up enough that I'm surprised nobody's created the Ruby equivalent of GraalVM, to compile a Ruby script, all its deps, and a WPOed subset of the Ruby runtime, into a native executable.
Even with a good type system, a trimmer/linker has to be enlightened of many special idioms and patterns and perform flow analysis, and in the case of dynamically typed languages or languages with reflection - to analyze reachability of reflectable members and trim otherwise spaceous metadata. It took significant amount of work in .NET's ILLink in order for it to be able to produce as compact binaries/libraries as it does today with .NET's AOT build target, and it still required a degree of metdata compression and dehydration of pointer-rich data structures (something which, funnily enough, Go doesn't do, resulting in worse binary size).
https://github.com/oracle/truffleruby
Unlike GraalVM Java, as far as I can tell TruffleRuby doesn't provide a bundler that can create a single executable out of everything, but in principle I don't see why it couldn't.
https://www.graalvm.org/latest/reference-manual/python/stand...
I'm not sure I'd try replacing shell scripts with natively compiled Python binaries. That said, I use a Kotlin Scripting based bash replacement in my own work that has many useful features for shell scripting and is generally much more pleasant. You have to "install" it in the sense of having it extracted somewhere, but it runs on Win/Mac/Linux and can be used without root etc.