The script, stripped to its bare essentials, is basically a stand-in for the 'pry' executable:

$ cat mypry
#!/usr/bin/env ruby
require 'rubygems'
require 'pry'
binding.pry

When run directly, it works beautifully.

$ ruby ./mypry
From: ./mypry @ line 4 in Object#N/A:

     1: #!/usr/bin/env ruby
     2: require 'rubygems'
     3: require 'pry'
 =>  4: binding.pry
     5:
pry(main)>

When run via load() after rubygems, boom:
$  ruby -rubygems -e 'load("./mypry")'
/usr/lib/ruby/gems/1.8/gems/pry-0.9.5/lib/pry/default_commands/context.rb:148:in `to_s': NULL pointer given (ArgumentError)
        from /usr/lib/ruby/gems/1.8/gems/pry-0.9.5/lib/pry/default_commands/context.rb:148
        from /usr/lib/ruby/gems/1.8/gems/pry-0.9.5/lib/pry/command_set.rb:17:in `instance_exec'
        from /usr/lib/ruby/gems/1.8/gems/pry-0.9.5/lib/pry/command_set.rb:17:in `call'
        from /usr/lib/ruby/gems/1.8/gems/pry-0.9.5/lib/pry/command_set.rb:194:in `run_command'
        from /usr/lib/ruby/gems/1.8/gems/pry-0.9.5/lib/pry/command_processor.rb:166:in `execute_command'
        from /usr/lib/ruby/gems/1.8/gems/pry-0.9.5/lib/pry/command_processor.rb:139:in `process_commands'
        from /usr/lib/ruby/gems/1.8/gems/pry-0.9.5/lib/pry/pry_instance.rb:301:in `process_line'
        from /usr/lib/ruby/gems/1.8/gems/pry-0.9.5/lib/pry.rb:15
        from /usr/lib/ruby/gems/1.8/gems/pry-0.9.5/lib/pry/pry_instance.rb:109:in `call'
        from /usr/lib/ruby/gems/1.8/gems/pry-0.9.5/lib/pry/pry_instance.rb:109:in `exec_hook'
        from /usr/lib/ruby/gems/1.8/gems/pry-0.9.5/lib/pry/pry_instance.rb:140:in `repl_prologue'
        from /usr/lib/ruby/gems/1.8/gems/pry-0.9.5/lib/pry/pry_instance.rb:173:in `repl'
        from /usr/lib/ruby/gems/1.8/gems/pry-0.9.5/lib/pry/pry_class.rb:95:in `start'
        from /usr/lib/ruby/gems/1.8/gems/pry-0.9.5/lib/pry/core_extensions.rb:20:in `pry'
        from ./mypry:4
        from -e:1:in `load'
        from -e:1