I know this is an old thread, but I felt I should point out that you definitely can distribute a game for windows using rubyallinone even if you don't have a access to a Windows computer. I did exactly that for my (rather terrible) LD-17 entry, and I think a few other projects as well.
The game itself was very bad, but it provided a big lesson in persevering through difficult packaging tasks: I was able, without access to a windows computer, to upload a functioning windows version of my game which used not only Ruby and Gosu, but also Chipmunk through FFI
As far as I'm aware, there is no reason at all that the copy of rubyallinone.exe that I used (and still have on a thumb drive for ruby development using someone else's computer) shouldn't work for anyone who needs it, so I'll attach it here.
Okay, well, there is one reason: sadly, it's only Ruby 1.8.6, which isn't exactly the new hotness. But it's good when you just need an uninvasive ruby interpreter.
Edit: Incidentally, you'll need to include things like Gosu.dll and fmod.dll in the folder with your files... if you want to see how it looks, you can take a look at my LD17 entry
. Just, for the love of god, don't run the game itself, it's very, very bad :-p