I think this is possible with a single *.exe and some scripts and I don't believe there will be too much of a performance hit.
There are a few things you will need to do within your scripts to make it work:
[pre-scripting]
0) before you start - make a plan of the questions you will ask and how you want these to affect your game. For example
Quote: "Question1: Which is the most scary?
Effect: Spawn a zombie, a spider or a clown in Room 2."
1) at the start of your script where you ask the Q's, define some variables. For example:
:state=0:dimvar=Q1Room1,setvar=Q1Room1 0
2) Later in your Q script, set the variable to a value depending on the answer. for example:
:state=10,scancodekeypressed=2:setvar=Q1Room1 1,state=20
:state=10,scancodekeypressed=3:setvar=Q1Room1 2,state=20
:state=10,scancodekeypressed=4:setvar=Q1Room1 3,state=20
3) When placing the enemies related to the choice, make sure you set "Spawn at start=No" - this will prevent the enemy from being on the screen if not chosen.
4) To make you enemy appear, place a trigger zone and create another script so that only the selected enemy appears. for example:
:state=0,plrwithinzone,varequal=%Q1Room1 1:settargetname=Zombie,activatetarget=1
:state=0,plrwithinzone,varequal=%Q1Room1 2:settargetname=Spider,activatetarget=1
:state=0,plrwithinzone,varequal=%Q1Room1 3:settargetname=Clown,activatetarget=1
Obviously this is just the basics and the final scripts will depend on how you define your questions, your level design and how you chose to spawn your enemies, but I hope this helps you start.
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