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Recommend me a scripting language
(lemmy.ml)
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What about Lua/Luajit?
In most scripting languages you have the interpreter binary and the (standard) libraries as separate files. But creating self-extracting executables, that clean up after themselves can easily be done by wrapping them in a shell script.
IMO, if low dependencies and small size is really important, you could also just write your script in a low level compiled language (C, Rust, Zig, ...), link it statically (e.g. with musl) and execute that.
I use Lua for this sort of thing. Not my favorite language, but it works well for it. Easy to build for any system in the last 20-30 years, and probably the next 20 too. The executable is small so you can just redistribute it or stick it in version control.