Interesting. The workflow I've been using skips the CPython installer and only uses uv.
Windows doesn't support shebang lines as you probably know, but if you associate uv with .py files you'll get the same result.
I think it should be something like this:
ftype Python.File=C:\Path\to\uv.exe run %L %*
If you don't use the CPython installer the Python.File file type might not be defined, so you might need to set that with `assoc` first: assoc .py=Python.File