I noticed that in Scripts folder inside the python installation folder there are executable files. Each file about a 100kb in size.
FYI: when I open it (or them) using 7Zip I often find a init.py file inside.
The setuptools package builder is able to
Automatically generate wrapper scripts or Windows (console and GUI) .exe files for any number of “main” functions in your project. (Note: this is not a py2exe replacement; the .exe files rely on the local Python installation.)
(ref. from setuptools documentation)
Unfortunately the way it is actually done is considered an implementation detail and is not documented.