A couple of years ago at the Adobe eLearning Conference E.J. Leblanc did a session on embedding content created in the Unity engine into an Adobe Captivate course. It was really cool to see a 3D simulation running inside a web object in Adobe Captivate. It wasn’t the .exe he embedded but rather web content. You might try reaching out to him and see if he has refined that functionality. He’s a great guy to follow on Twitter as he’s always trying something new. You can find him here.

AFAIK no,, embedding an EXE file is impossible. Maybe you could give some explanation about what you want to achieve, so that possible workarounds can be found. Mention the exact version you are using, please.