The error about p11-kit isn't anything serious or relevant, don't worry about it.
I just tested it on my machine and got it running with a simpler script as well, so let's start over in a terminal:
1. Create the script and make it executable:
Code:
echo -e '#!/bin/bash\nexec audacity "$(winepath -u "$1")"' > ~/.local/reaper/.wine/drive_c/run_audacity.sh && chmod +x ~/.local/reaper/.wine/drive_c/run_audacity.sh
2. Set the external editor in Reaper as C:\run_audacity.sh.
3. Profit.