OCaml is a scripting language in this sense. No need to compile an executable ahead of time, just have a `#!/usr/bin/env ocaml` shebang (or more realistically: `#!/usr/bin/env -S ocaml -I +unix unix.cma`) at the top of a source file.
Though, I don't think it has the capability for single-file scripts to declare 3rd-party dependencies to be automatically installed.