Thanks for trying this very early demo :) Make sure to unzip the .zip file in the same folder as the exe to have all the assets at the same place, should fix the issue.
Sorry that it's not a 1 exe game just yet, it's my very first game and the first time I export it into a playable demo/prototype but I will try to have it all in one exe for the next update. Will simply need to figure out how to do so in Godot 3.5 :)
Thanks!