pkg embeds the node runtime, so that machines that is to run the executable, will not need nodejs to be installed.
As for configuring its environment at run time - you can pass any node-red command to it.
Portable-NR.exe --userDir ./Home --port 5000
You can actually embed your User DIR folder also.
but the flow will become read only, and deploys will fail, so its a final stage approach if you do that.