VS currently does not have a tool that can bind .msi file and .exe file. If you have to do this, you may need to look for other third-party tools.

However, you can try the method in this document to achieve the effect of only one .exe file.

After completing the method in the document, you will find that there may be not only one .exe file in the target location, but also files such as .pdb and .dll. These are normal and can be ignored. You only need to extract the .exe file.