The random website cannot access arbitrary files on your computer's file system and send it somewhere else. An html file with javascript running locally, if trusted, on a typical personal computer could do that.
Such things seem to be cycles.
Today a lot of browsers support .MHT which is a similar format, but also worse in many other ways. (The M stands for MIME and wrapping a website like an email seems somehow sillier and weirder to me than wrapping it in a ZIP file, though I get that MIME wrappers are ancient internet tech with an ancient track record.)
Then we see all the millions of apps in PWAs and Electron downloads.
At some point it feels like we should have better solutions and cut some of the gordian knot cycling between "local apps are too much of a security risk" and "local apps should be complicated collections of Service Workers to get offline support" and "local apps should just embed a full browser and all its security implications/risks rather than allowing browsers to directly open local apps" and back and forth. .HTA and .MHT both showcase possible directions back to "simpler" than PWAs/Electron, they just have such fascinating and weird histories.