Run bash command on jenkins pipeline

The Groovy script you provided is formatting the first line as a blank line in the resultant script. The shebang, telling the script to run with /bin/bash instead of /bin/sh, needs to be on the first line of the file or it will be ignored.

So instead, you should format your Groovy like this:

stage('Setting the variables values') {
    steps {
         sh '''#!/bin/bash
                 echo "hello world" 
         '''
    }
}

And it will execute with /bin/bash.

According to this document, you should be able to do it like so:

node {
    sh "#!/bin/bash \n" + 
       "echo \"Hello from \$SHELL\""
}