It would appear you're expected to use both Windows and Linux tools.yeah, the .sh was doable for me. I contacted the author and saied that for the "converting to PSX-EXE" part i should use something like https://github.com/simias/psxsdk/blob/master/tools/elf2exe.c or https://github.com/ARM9/psxdev/blob/master/libpsx/tools/bin2exe.py
".sh" scripts are more associated with Linux.
The process involves turning the binary into a PSX executable, and finally building an ISO image.
But I'm not familiar with Playstation development software.
I'll try it later and see if it works
EDIT: the python one works, but I still think it's missing something
maybe the SYSTEM.CNF?