How to run application without .dll files

If an application relies on code in a DLL Assembly, then that DLL file need to be shipped with the app, it can't be "included" with the EXE Assembly because that would do three things:
1) Probably invalidate any licence agreement associated with the DLL, and as such be against any T&Cs agreed when the DLL was installed.
2) Break any Internal, Protected, and Protected Internal access restrictions in the DLL Assembly.
3) Make it impossible to automatically update the DLL assembly code without having to rebuild and ship the whole EXE.

The chances of this working on "all DLLs" is remote at best: almost any form of obfuscation would make this technically challenging to do anyway.

Why do you think this is a good idea? What makes you think you need it?

In some cases, if you have a complicated solution, ILMerge won't work.
You can try Fody Costura instead: GitHub - Fody/Costura: Embed references as resources[^]
Read review here: .NET Power Tip 10: Merging Assemblies | manuelmeyer.net[^]