Assuming the webserver is configured to handle .exe, Can i compile a python CGI file into an exe for speed.  What would some pros and cons be to such a desession?
Since the RDBMS and the network are the bottlenecks, I see no value in fussing around creating an EXE.  
On average, most of a web site's transfers are static content (images, .CSS, .JS, etc.) which is best handled by Apache without any Python in the loop.  This has huge impact.
Reserve Python for the "interesting" and "complex" parts of creating the dynamic HTML.  Use a framework.
Compiled Python CGI