Default opening for scripts is to launch them with a confirm option.
It seems you have enabled running it without confirmation.
As it is a script, execve is used, which expects scripts files to start with a header to select the right script interpreter.
For fish it means you need to have you first line of files as #!/usr/bin/env fish, adding this line will fix your issue.
This part is not dolphin specific. linux - How to know what script header to use and why it matters? - Stack Overflow