$ /tmp/throwaway.pex 
Python 2.7.10 (default, Dec 16 2015, 14:09:45) 
[GCC 4.2.1 Compatible Apple LLVM 7.0.2 (clang-700.1.81)] on darwin
Type "help", "copyright", "credits" or "license" for more information.
(InteractiveConsole)
>>> import sys
>>> sys.argv[0]
'/tmp/throwaway.pex’