I'm wondering if python is a good choice to develop a desktop application for a small business.
Is it possible to build something using PyQT or even Swing + Jython ? How I can make a executable file at the end?
It depends on what you are looking to do.  I have done it and it worked but there are other questions that can factor in like who will maintain or update the code, and do they know Python.  You can look at cx_freeze for making a windows executable out of a python program as one of many options.
Is python a good choice to build a desktop application?