As others have said, this is not possible with CompiledScript. However, with JRuby you have another option. You can use the command line tool jrubyc to compile a Ruby script to Java bytecode like so:
jrubyc <scriptname.rb>
This will produce a class file named scriptname.class. You can run this class from the command line as if it were a normal class with a main(String[] argv) method (note: the jruby runtime needs to be in the classpath) and you can of course load it into your application at runtime.
You can find more details on the output of jrubyc here: https://github.com/jruby/jruby/wiki/JRubyCompiler#methods-in-output-class-file