Hello
I don't know if a transfer to the Ram Disk takes place behind the scenes, but judging by it's behaviour i think it can in fact launch programs directly from the SD. It's an Axim X51. Shame there is no decent Linux distribution for it.
Having said this and to avoid a million replies to this post, trying to prove the opposite, let me just say that "Yes there is a linux distribution that you can install on the Axim (maintained by some very helpful folks over at handhelds.org) but it does not yet have support for all the devices (like BT, WiFi, front panel buttons, SD card, status LED's etc)". There, i hope this saves us the blitzkrieg (Just kidding) :-)