You don't need to as `fennel` the compiler comes with it's own way to compile native binaries! Here's an example[0] from one of the maintainers. It even let's you require other Lua modules and will embed along with the executable.

[0]: https://git.sr.ht/~technomancy/fennel-http-example

Debugging seems like it would quickly become impossible, but that is a delightfully cursed idea.