WineBottler, and Wineskin do not actually embed Wine into a .exe or anything of the sort. Mac OS X has special way it handles programs in a ".app" known as an Application Bundle. It is actually just a folder set up the right way so the OS treats it like a program instead of a folder. It looks like a file or single program, and you double click it to run it, but its really just a folder with certain things in the right places inside... You could probably do something similar on Linux, but it would be a folder.. with a start up script you double click.. that sets things right and has Wine and all needed stuff in a subfolder inside.
