Various people did, I'm sure somebody must have compiled a list somewhere but I can't immediately find it. Off the top of my head I recall Sigue Sigue Sputnik and Frank Sidebottom including software on their records.
Frank Sidebottom was created as a fake fan of Chris Sievey's band The Freshies. Sievey had previously released a ZX81 program on a B side that played along with the record, showing lyrics, etc. Sidebottom was a character on the accompanying record for the game, called "The Biz" -- https://en.wikipedia.org/wiki/The_Biz_(video_game)
