RubyScript2Exe can't cross compile directly. However...

It's possible to run Ruby for Windows on top of Wine on top of
Linux. And it's possible to run Ruby for Windows on Windows in
a virtual machine (e.g. VirtualBox) on top of Linux. In both
cases (depending on which virtual machine you're using), you
can access your native file system with your Ruby scripts.

RubyScript2Exe works in both cases.

I used to use the Wine option, but nowadays, I use the
VirtualBox option.

gegroet,
Erik V. - http://www.erikveen.dds.nl/