There are some postings regarding Innosetup plus MSI / MSM and so on, and I found a link which has the title
Packaging a .NET Deployment Project into a Single EXE
http://www.mattjwilson.com/blog/2009/02/13/packing-a-net-deployment-project-into-a-single-exe/
I did not check it - maybe it can help someone.