In most scripting languages you have the interpreter binary and the (standard) libraries as separate files. But creating self-extracting executables, that clean up after themselves can easily be done by wrapping them in a shell script.
IMO, if low dependencies and small size is really important, you could also just write your script in a low level compiled language (C, Rust, Zig, …), link it statically (e.g. with musl) and execute that.