Er... Alright...
".sh" is a (useless, the shebang isn't here for dogs) default extension, initially used to mark scripts wrote for Bourne Shell, now extended for C shell and its successor tcsh. For Ren'py they are strict Bourne Shell scripts, which mean that you can make them run whatever the OS as long as you have a Bourne Shell, C Shell or TCSH interpreter. So, you can run then on Linux, any Unix and Unix-like (what MacOS X is), and Windows if you have the Win32 port of C Shell (or was it Bourne Shell ? I don't remember right now).
This said, to run a Ren'py game on Linux, what you need isn't a .sh script ; well, you need it since there's no ELF executable, but having it isn't enough. What you really need is that the libraries used by Ren'py (like LibPNG, libJPEG, etc) and the Python executable, were compiled for Linux. Which is obviously not the case for "windows only" distributions of a Ren'py Game. But, if you look closely, you'll see that really few Ren'py games are stated as "Win". The large majority of them are stated "Win/Linux" or, less frequently, "PC".
To know if it's a Windows only distribution or a Win/Linux one, just look at the end of the archive name. If it end with "-win", it's a Windows only distribution ; this one will never works on Linux even if you found a .sh file on it (which isn't the case anyway). But if it end with "-pc" it's a Win/Linux one, and so you can run it on Linux, as long as it itself run on an Intel architecture. On a side note, the presence of a .sh script isn't a good indicator, since both Linux and MacOS X distributions use the Bourne Shell script as launcher.
Oh, and by the way, don't invoke Linus, Bourne Shell was wrote in 1977, 14 years before the first release of Linux.