This makes sense. If there's one thing windows can do better than Linux it's portable applications. The vast majority of my daily drivers on windows can run from my memory stick on any system without installation. Though this is not the same as what you're taking about.
What you're looking for sounds like AppImages (https://appimage.org/) . I have only used them while downloading games from itch.io, etc. (since i prefer package managers) but they seem to work out of the box on popular distros.
