It isn't possible to merge prereqs into a single MSI. If you want to support GPO, the only thing you can do is not build the EXE with the prereqs and instead put gating checks in your MSI to verify that they are there. The customer would then have to set up other GPO distirbutions for the prereqs. (Assuming the prereqs are available as MSI, .NET is not. )
In the real world, almost no one uses GPO software distribution. It's too restrictive. They use tools such as SCCM instead. But that's a question for ServerFault not StackOverflow.