Yes, you can bundle multiple Excel files into a single EXE file using a tool like XLS Padlock. However, with the current approach of XLS Padlock, you must define a main workbook and other workbook files would be considered as companion files.
End users will not be able to select the workbook to open. It’s the main one that will be opened: but on this “main” workbook, I’d create a menu and place buttons with macros that would then open the companion workbooks.