seems Clojure CLI uses a jar that contains Clojure + tools.deps. How would I build such a jar myself? or put in a different way, how can I make clojure use my local changes to tools.deps to try them out?

The easiest way (what I do) is to just hack my clojure script to put my local source directory at the front of the tools classpath

Then you can pick up changes with no build at all