It depends. If you put it into an app directory, it will be replicated to the indexers, where it will be run from the replicated bundle. If it happens to be pure python, and all additional libraries are also replicated in the app, and doesn't reference any absolute paths, but only files and paths etc relative to the app directory, then it will run fine.
I suppose that you want your command to work in a distributed search environment and be executed on each search peer.
The answer is that you can keep your search command just on the search-head but you'll need to set streaming = true when defining your command in commands.conf. That will ensure that your command is distributed.
Note that you still need to set streaming = true even if your command is not a streaming command but say, an event-generating command.