No, the ZIP package of the official portable version as it is now, does not automate that. A Registry entry that automatically associates the file types would not be of much use if different users decide different directories to extract their portable Paint.NET installations other than C:\Program Files since a .REG file targets a specified path. I personally have my installation on the D: drive. Also, users would not want all file types to be associated with Paint.NET and for that lets say, they have to edit the REG file to only associate the file types they want.
If ever, it had to be an installation setup made specifically for the portable version of Paint.NET with a custom installation option with checkboxes that lets you choose all these.