PixelBoy: I think at least Humble and Itch.io offer one file downloads, although I'm not 100% sure about that without actually checking (and I'm not going to check right now).
Of course the real question here probably would be which stores offer client-free downloads, and there aren't that many. At least not in English, I think there could be some in other languages, like Spanish etc.
While I have bought a sizable bunch of games from Humble, it has only been DRM-Free ones, and I don't recall any real huge files. But you may be right, as Outcast - Second Contact is a 5.92 GB zip file. But honestly I am not a fan of Humble, who care more about profits than service.
I don't recall any real large downloads with Itch.io, where I have grabbed hundreds of games over the years. But a lot of those were free or in special bundles.
And yes, they are two of the few where you don't need to use a store client to download.
The ZOOM Platform another store without a client, splits their downloads into 2 GB files (EXE and BIN).
It must be stated that GOG often provide very large Linux and MAC downloads, greater than 4 GB. But that is to very much a minority group of customers, including myself.