depending on what form of windows you use, it is possible. i even seen this done on a winme bootdisk. it's one of the 'miniwin' distros does this.
the idea is to replace one of the files with command.com. something like vmm.vxd or something. you still need a fair few files to do this, but it can be done.
reccomended reading on the subject, including how to do it, is found in 'undocumented dos' [i think]. it talks at length on how to defang windows 9x.
w
addit:
for windows 3.1, you replace the device driver [krnl386.exe], with a suitably renamed command.com. That is, you rename krnl386.exe to krnl386.win, and the copy whatever you want to run as krnl386.exe (including command.com, or 4dos.com).
WinStart.batCODE
:: winstart.bat
command.com
another way of effecting this, is to create a 'winstart.bat' under win3.1, and run things from there, especially if this batch contains the single line 'command.com'.
this will continue to load windows after the game is done, but you will have a 32-bit dos environment to play with.