If you click on a shell script in Nemo, it tries to display the text of the file. This happens even if the executable permission bit is set on the file.
This default behavior is to protect you from mistakenly executing malicious files. To execute these files on clicking them, go to Edit > Preferences > Behavior > Executable text files and change the setting to what you want.
Tried with: Nemo 1.8.4 and Ubuntu 14.04