If you create a shortcut from the GOG Galaxy GUI, it will point to the executable for the game, which will launch it independently of the GOG Galaxy client.
Should you want to have a shortcut that will launch the game from within the client, which allows for the features like tracking game time and achievements, you can do it with these steps.
You can start by making a normal shortcut for GalaxyClient.exe, and make some modifications to it.
Target: "C:\Program Files (x86)\GOG Galaxy\GalaxyClient.exe" /gameId=1158493447 /command=runGame
Start in: "C:\Program Files (x86)\GOG Galaxy"
The shortcut can then be given an icon with the “Change Icon…” button in the shortcut properties. You can usually find it by clicking the game executable to search within it. Then, it’ll look like any game shortcut and act very similarly to how it would with Steam or similar.
The game ID can be found here: https://www.gogdb.org.
This will only work if the game is GOG native. Linked executables for non-GOG games does not seem to support this feature. There might be a way, but I don’t know of it.
command=runGame // Launch game (and GOG Galaxy on game page)
command=launch // Launch GOG Galaxy on inventory game page
There might be some official documentation for this somewhere, but I found this here: https://www.gog.com/forum/general/start_game_directly_with_gog_galaxy_shortcut