When trying to create an executable for a game made with Pygame Zero using PyInstaller, the game doesn't launch for some reason. This can be avoided by using the following command: pyinstaller --collect-all pgzero <script_name>. Please be sure to also include any sound, image or any folder like that as well using --add-data <folder>. You will also need to include the following lines in the script.

import pgzrun

# GAME CODE HERE

pgzrun.go()