Removing sp_execute_external_script Start-Up Lag
As of writing, there isn't a feature (that I've ever heard of) and I imagine anything in this area would just be implemented as a performance fix as the external scripting feature matures. 

Two options in the meantime would be:


Run a dummy script at startup.
Quit rebooting your server! If this is a testing environment or one being spun up dynamically, speed probably isn't a priority. If it is production, you you might need to ask yourself why you're rebooting with any amount of regularity.