First of all, it's all not related to CMD.exe. You should have said "command line". CMD.exe is a command interpreter, which you may or may not need to use. This is not a tool to run an application with some command line. Anything else can do it.
As soon as you forget CMD.exe, I can tell you what exactly can work as a batch-like file started in directly, in just a click, without having to specify SCript application. This is an XML-based WSF file with one or more scripts embedded in it. Here is the simplest file sample:
<job>
<script language="JScript">
WSH.echo("Hello world! (From JavaScript)");
</script>
</job>
Please see:
Using Windows Script Files (.wsf).
When you just click on such file, without any command line, the script will run.
I would also note that this technology is quite old and was majorly superseded by PowerShell. At the same time, WSF has some great benefits: it does not require any installation and tuning, in big contrast to PowerShell. At the same time, scripting is much more reasonable and maintainable that old batch files (which also have been improved since NT).
—SA