Hmm, I think this is not supported, but probably not very hard to do it at least for Windows (PE executable).
Hard to say about new Ruby versions like 3.x or even 2.x. 1.8.x have pretty simple building process, just grab the old source. You can use --enable-static builds there. Miniruby is build by default, always, because its part of building process.
Also, if you are platform are you targeting? Win32 only?