I think the easiest way to do this is to download pirate version of game even if you have it in Steam or wherever, because pirated version is by design will be a standalone installer that works without any kind of platform originally used for game's distribution. If there is no pirate version, if this is some lesser known indie game from itch, perhaps even a free one, that comes as an archive with exectutable. And you want to spice things up still, by creating installer with art or whatever, you might look into installer creation tools like innosetup for example.