You can create your own custom browser/webframe if thats what your after
You “can't” create a desktop app of a Mendix project. Fundamentally, with Mendix you build a web application: a client – server application with a database, accessed through a browser. Therefore, to run this locally, you would need to start a server, start a database and access your Mendix application through a browser. This can be done, e.g. when you run a Mendix application locally from your Studio Pro environment. However, you will run into licensing issues, as the current Mendix licensing model does not support this type of deployment.