No, sadly you can't.
But there is a packaging mechanism where you can put all scripts and assets into a ZIP file and you only need to ship the DOJS.EXE and the ZIP.
You should be able to use COPY /B DOJS.EXE + PACKAGE.ZIP DOJSPACK.EXE to end up with a single .EXE file that still contains the packaged data when read as a ZIP file. The .ZIP format is specifically designed so that this will work.