I'd prefer not to hard code __main__.py, as I'd quite like to be able to have a number of copies of the executable, each running its own script. (I foresee putting all my little Python utility scripts in a directory with a Python installation and a set of launchers).

BTW, see https://github.com/pfmoore/pylaunch for a very quickly put together, but working, prototype. Whatever the conclusion here, I'll probably continue working on this. Unless the embedded python.exe completely subsumes the functionality :-)