[okasaki]

I mean in the sense that you're bundling your dependencies with your program. This is well established, Python isn't special.

Obviously Python is (usually) an interpreted language, so you're going to need Python on user system. If that's a problem Python might not be for you, or you're going to need to do some extra work.

It can be done. For example the popular visual novel software Ren'Py is written in Python.