Just did a simple test which ended up pretty interesting, on the DOS demo you can entirely delete the WIPEOUT folder and the demo will still run and load the track -> there is definitely lot more happening in the EXE than sole game logic. i.e. couple of track data is within the EXE.
Try running it once, deleting/moving the folder and rebooting the PC, then run it again. There's probably track data still present in memory. If it still works after you rebooted, then it's the EXE file that's doing the work.