Pry does allow that with some caution. You can dip into files from the pry prompt ("edit <methodname>" opens the right file at the start of the method definition) to add methods and reload a class ("reload-code" or "reload-method"), and if you want to you can relatively easily rig things up so you're thrown into a pry prompt on method missing, implement the missing method, and reload the relevant file and retry the call.

Though I'll usually have a "boot" file that loads all pre-requisites and just call functionality from a pry prompt and edit/reload as needed rather than try to continue from a method missing or exception.

This is why many IDEs have the workspace concept, as it allows to create a metadata database with the information that would otherwise be part of the image.