The only way I know how to do this is by creating a .destkop file. This type of file has a special syntax that tells the system how to launch a particular program or script. You can use this to create your own launchers for specific websites on a web browser, for example.
So you can create a file named something like "my_script.desktop" with the following contents:
[Desktop Entry]
Name=MyScript
Comment=Some description
Exec=/path/to/where/the/script/lives/script.py
Path=/path/to/where/the/script/lives/
Icon=/path/to/some/icon.png
Terminal=false
Type=Application
Categories=Utility;
Some fields, like the Icon, are optional.
If you place this file in /usr/share/applications or ~/.local/share/applications you will find it in the Zorin Menu as well, so it's even easier to launch.
But this isn't a file association, you'd still have to do this for each script. Although I would argue that if you really need to double-click on too many scripts, this is what you want to do anyway.
For reference: Desktop entries - ArchWiki