I think the closest to that would be https://en.wikipedia.org/wiki/Shar and I've seen ones that were both valid shell scripts and Windows batch files. Of course, the actual polyglot part is tiny and serves only to direct execution to continue with the appropriate platform-specific binary.
"A careful reader may have noticed that a bootable OS image was hidden in the last issue of PoC‖GTFO,as one of the files in its dual PDF/ZIP structure (if you haven’t, download and extract it now!). This time, though, let’s hide it in plain sight. You will find by running ‘qemu-system-i386 -fda pocorgtfo02.pdf’ that the PDF file you are reading is also a bootable disk image."
