Is it possible to create an entire application in ruby and run as an exe file in windows, or as an application on any OS?
A ruby script can be a full application yes, there's no reason it can't.
If I understand what you meant though, you want to compile a ruby script into a standalone executable? If that's what you meant, you could check out ruby2exe.
Another possibility, something that you might want to check out, is Titanium. You can use Ruby and web languages to create totally cross-platform Desktop applications.