This makes sense. If there's one thing windows can do better than Linux it's portable applications. The vast majority of my daily drivers on windows can run from my memory stick on any system without installation. Though this is not the same as what you're taking about.
What you're looking for sounds like AppImages (https://appimage.org/) . I have only used them while downloading games from itch.io, etc. (since i prefer package managers) but they seem to work out of the box on popular distros.
All of these are all still behind how Android stores apps. On Android each application can be distributed using a single file that is easy to distribute. Each application is properly sandboxed. Each application gets its own directory. And something all of the other things mentioned here are missing, each application gets its own subdirectories in the app's directory for storing its state (there are different ones for each user).