I've had multiple customers tell me they use PECompact on AHK executables, so I am sure it works (or should). I am unsure of what additional settings might be relevant, if that's not working. Since I'm not particularly familiar with AHK, perhaps a user here can assist you with an answer.
I can say that an alternate approach may be possible. AHK surely has some sort of executable 'stub' that it bases compiled AHK scripts on. This 'stub' is simply the AHK interpetor. If you can find this stub on disk, maybe named something other than *.EXE, it perhaps can be pre-compressed. The executable stub may be in the resources of the AHK compiler though, in which case the operation is still possible, but a little more work.
AFAIK, PECompact should 'just work' on AHK compiled executables. Perhaps its an AHK compiler setting that needs tweaked? I don't know... hoping users can help you on this one.