At the risk of answering my own question, I believe releasy does this.
Though my latest style is custom innosetup, but then bundle jruby
complete jar as an exe [launch4j] works a champ.
For followers.

On 6/29/12, Roger Pack <lists / ruby-forum.com> wrote:
> Hello all.
> I'm familiar with "ruby2exe" or "OCRA" or the like, that basically zip
> up your ruby interpreter, with its ruby files, then unzip it "on the
> fly" when it is run.
> What I'm looking for is more of an InnoSetup/NSIS installer for a ruby
> app, that won't need to unzip any new files each time is run (I noticed
> that OCRA "can" [1] do that, but I'm looking for something a little more
> developed, like you can specify icons etc.).  Does anybody know of any
> tools to accomplish this at all?
> Thanks.
> -roger-
> [1]
> https://github.com/DavidMikeSimon/ocra/commit/4bab00b9cccf325e48cb53ac5a2cdf33528ce42e
>
> --
> Posted via http://www.ruby-forum.com/.
>
>