No idea what you did there, just add a desktop entry manually
cat > ~/.local/share/applications/grayjay.desktop <<EOF
[Desktop Entry]
Name=Grayjay
Comment=Media Player
Icon=$HOME/path/to/icon
Exec=$HOME/path/to/exec-script.sh
EOF
Maybe you didnt chmod +x
that script?
Worked for me without issues. Trying to run the program with mullvad-exclude
though didnt work at all, they have some weird issues. Hopefully they make a Flatpak.