I did some more research in to this. Most EXE wrappers around HTML that I tried (Adobe AIR, Titanium Desktop etc.) only use WebKit, which is Chrome's HTML layout engine, but is not the full browser. It looks like WebKit alone only provides a software rendered 2D canvas and no browser features like Audio, since it's just a layout engine. So it's no good at all for games. It looks like the link Kyatric posted uses OpenWebkitSharp which suffers the same problem.
Awesomium on the other hand is a full-blown browser engine based off Chromium. I haven't got it working myself yet but I think it supports everything Chrome does: WebGL, audio, V8 javascript engine, and so on. So out of everything I've looked at only Awesomium looks like it will actually be useful. There may be a few other problems though - if it works off the file:/// protocol a lot of things aren't going to work, and it might need an internal HTTP server. However the HTML5 exporter has one already for previewing. So I think the best thing to do - in future, since we have a lot to do :P - is make an official Awesomium-based wrapper with a built in HTTP server and also the ability to package all the files in to a single .exe file. FYI Awesomium's license costs $2.9k once you've made $100k in profit, which I guess isn't a problem. Anyway, I guess I can say... on the todo list :P