It would today, because macos requires signing, and windows has "the mark of the web".
They don't apply to scripts, so Python is fine, but they do apply to executables.
Having to sign your zip every time you produce it would nullify the benefit of the concept. And because the checksum of the executable file change according to the content of the zip, you can't just sign the cosmopolitan part.
It shouldn't be that hard to get a general 'jar/war', not just for python.
Perhaps jart's cosmolitan libc with a zip file appendage which it auto extracts and optionally caches on first use.
A heavyweight solution, but still lighter than Docker.