Have you used pynsist?

[snippsat]

I have tested pynsist.

Its not a problem they want downloading NSIS

There is no need to download of NSIS for end user,only needed bye you for build process.
pynsist will make a single exe like my_game.exe ,this is a installer file that can be disrupted.
So running my_game.exe  start the installer(NSIS) next --> next --> Finish.
It will make a my_game shortcut in the start menu of Windows.

As mention bye @DeaD_EyE Pyinstaller can make one exe like my_game.exe .
Then my_game.exe  is a executable file,unlike my_game.exe  from pynsist which is a installer file.

If want disrupted a more processional app,
a installer(that has uninstall option) can be more approachable than ask some to run a "exe" that is executable.

And in the rear occasion when if I needed an installer for windows I was using Install creator with Inno setup.

I have used Inno setup in the past,it's a good installer.