On a Windows platform, the time zone database is installed from the tzdata Racket package, which is a dependency of gregor. You need to use raco dist to package these files with the distributed executable, the --embed-dlls option will not help here, since these files are not DLLs.
In general, you cannot skip the raco dist step when distributing stand-alone Racket applications, on any platform, since other libraries might contain files which are not Racket source files or shared libraries.
See also: Bundling external libraries with Raco Distribute - #6 by alexh
I find that a lot of people are confused by the --embed-dlls option, and they think they can ship just the executable file that it produces, but this only works in very limited cases.
Alex.