The system has to know what type of script it is. That is done via the use of a "shebang"

For a simple bash script you can use

#!/bin/bash

echo blah

sleep 4

It worked for you in bash (terminal) as your bash terminal made an assumption you were trying to run a bash script. pcmanfm-qt cannot really make that assumption, so the shebang tells the system what type of script it is.

(You already had the executable flag correct that was also required)