I had someone ask me recently how to run xp_cmdshell on a Linux version of SQL Server. I told them you can't, as it's an unsupported feature and not one that I expect to see released. I had to double-check, since I did think that supporting a BASH shell was a possibility, but it wasn't added to the product.

In the feedback forums, I saw a request for xp_powershell, though the feedback from MS is to use CLR for this. They suggest external access permissions, but those aren't supported on Linux. I also didn't see a request for shell scripts added, and I'm not sure I want one.

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