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But a tmpfs (the usual way to do this) isn't persisted to a disk

It can be; swap and suspend-to-disk / hibernation can cause tmpfs to be written.

I wonder if there's a way to execute from mlock'd or madvised memory. I can imagine this be particularly useful, if you wanted to prevent your injected program (malware? valuable IP?) from being written to disk or appearing in a core dump.

True, but those caveats apply to OP's technique too. What I am saying is that there is no specific behavior of a tmpfs which causes things in it to be necessarily persisted to disk like the parent was suggesting. It works just like any other anonymous memory does.

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