python-3.6.0b2-embed-amd64.zip will load the interpreter as is easy to install.  The Python Embedded Distribution documentation mentions needing ucrtbase.dll, which is already installed on Nano Server.

One small pain point is that ctrl-z seems to exit/suspend the docker container and drop you back to the host.  Under the normal, non-embedded python, you can just run exit() to quit the interpreter.  Since this option is not available under the embedded version, you have to import sys; sys.exit() to quit the interpreter under Nano Server.  Also, there is no pip.exe.

Thank you for the information regarding MSI which I was not aware of.  Upon further consideration, I believe this issue can be closed because the embedded distribution works on Nano Server.