The following is the very first post  [here] I put in Soti Forum back in Feb 2018, which essentially solves the same problem as yours:

Based on what I did from a few years ago, you can use

     script://your_script_file_path/your_script_filename.cmd

The default filename extension is .cmd, but I think anything will do.  The tricky part is to reference the path to your script file on your device brand/model, which might have a different file hierarchy for different device brand/model.  However,  all Android devices have the default "download" directory in the on-board Flash, which should be easily referenced with MobiControl macro  %sdcard%/Download.  Please note that  the macro %sdcard% here does not refer to external add-on SD-card, which might be referenced with another macro, %removablesdcard%, for some device brands/models in Mobicontrol v13.3.0.3851+ & v14.0.2+ according to the latest Soti online info. 

So, if you have a script abc.cmd in the default "Download" directory,  you should have the following for your lockdown menu item:

  script://%sdcard%/Download/abc.cmd

 Some devices/firmware/webview engine might use \ as path delimiter.  Please verify on each device model you are using.   

Hello Anil - Please let us know if the steps suggested by Raymond worked for you.