Well, I remembered in SQLX there are pre_operations { ... } so I experimented with this:

config {
  type: "table",
  schema: "debug",
  name: "test"
}

pre_operations {
  CREATE TEMP FUNCTION addition(a INT64, b INT64)
  RETURNS INT64
  AS (
      a + b
  );
---
  CREATE TEMP FUNCTION multiply(a INT64, b INT64)
  RETURNS INT64
  AS (
      a * b
  );
}

WITH numbers AS
  (SELECT 1 AS x, 5 as y
  UNION ALL
  SELECT 2 AS x, 10 as y
  UNION ALL
  SELECT 3 as x, 15 as y)

SELECT
    x,
    y,
    addition(x, y) AS added,
    multiply(x, y) as multiplied
FROM numbers

This works well when the job is executed, however it doesn't work when pressing "Run":