I often fantasize about this, late at night. That exe rule the world. You can have portable document formats inside exe (or nix binary) that contains its own reader. The glory days of self-extracting zip archives achieve the ultimate realization of their lofty ideals.

Add to this the ability to make it cross-platform executable[1] that has no dependencies to get the perfect file format.

[1]: https://github.com/jart/cosmopolitan