As far as I'm aware, there isn't. You can currently make executables for Windows and OSX, but not Linux. Although I suppose it would be possible to compile 32bit and 64bit versions of Ruby and package them with a game, I doubt anyone would bother setting that up since it is relatively easy to install Ruby on Linux.
By jlnr (dev)
Date 2013-01-16 02:47
I wonder if you could set up a dpk (or whatever they are called :)) that has all of Ruby/Gosu's dependencies as its dpk dependencies. Then on first startup or on installation, it would "bundle install" which would pull in all of the Ruby gems.
The problem is that any Ruby/Gosu game has both packaged dependencies (via Gosu) as well as Ruby gem depenencies (at least Gosu). Let me know if you find a good solution for this, I'd be happy to put it on the Wiki.