unfortunately, gedit don't have this function... However, GNU Emacs has the function you want!

To install it you must type:

sudo apt-get install emacs

After installed, you can create a new buffer (i.e., a new file). Depending on the file extension, the Emacs will change the menus to give you appropriate options...

For a simple test, you can create a new shell script file (with the extension ".sh"). After saving the file, a new menu "Sh-Script" will appear. This menu has two options related to your demand: "Execute Script..." and "Execute region".

I don't know what kind of files you want to use this functionality, but you can try to use Emacs!

Best regards,

Rafael.