Is there a Mac utility to create an executable Zip/archive?
Yes it is possible.  Is it worth the extra time to achieve what you want?  You'd have to be the judge.  My research hasn't turned up any point-and-click solutions so you'd need to use some standard UNIX tools to get the job done. It might take some effort, but you could do it yourself for free :D  If you're only going to need this once or twice, what I mention below might not be worth your time unless you are comfortable with command-line tools. 

One option that I would use if I were in a pinch for time would be makeself. makeself is a command-line tool that strings together common UNIX programs to achieve the type of result you've mentioned in your question. I've seen this archiver used by companies that distribute software for Linux. The tools necessary for makeself to run are available on your Mac by default.

makeself will compress a directory into a self-extracting archive.  It will optionally run a script of your crafting after extraction.  If your presentation can be started by clicking on a single file in MacOS, then this script would be as simple as the command open FILENAME. 

So your solution could be as simple as a putting the appropriate commands into a post-extraction script and running makeself on the directory you wish to compress. 

As a quick example, suppose you have a directory of lots of html files that you would like to compress.  When the file is decompressed, you'd like the file index.html to be opened in Safari. The following would get the job done:

makeself /path/to/html_directory self_extract_html.sh "Example" open index.html


What would result is a self-extracting archive named "self_extract_html.sh" which (when double-clicked) would extract the files and launch Safari to view the index.html file in the unarchived directory.