Can´t execute on Ubuntu 22.04 Gnome version 42.9 sh files

Question

I have created a file named Notebook.sh, but when I go to Preferences, I don't have the option Preferences -> Behavior -> Ask what to do, so I cannot directly open Jupyter Notebook by clicking on the file. Also, I cannot select Terminal by right-clicking and going to "Open With Other Application," and it continues to open the document when I click "Run as Program." I have also enabled "Allow executing file as program" under Permissions. I'm using Ubuntu 22.04. and Gnome version 42.9 (as said int he title) Could you please tell me how to proceed? Thanks a lot in advance :)