My solution:
My problem was, that I was trying to use only a shortcut and not a combination of shortcut and batch file.
One of the games I was doing this for was the german version of Lego Island 2, here's the code (batch):
@echo off
cd "C:\Users\berta\Documents.Iso\Games\Lego Insel 2"
start "" "LEGO Insel 2.iso"
cd "C:\Program Files (x86)\LEGO Media\LEGO Insel 2"
start "" "LEGO Insel 2.exe"
exit
It may be possible to do it without the batch file, but I wasn't able to get that working. The only progress I was able to make with the shortcuts were these two things:
You can mount ISOS with:
explorer "C:[directory]\game.iso"
You can also run an executable and a PowerShell wtih only a shortcut:
"C:[directory]\game.exe" -powershell {some command}
As you can see I wasn't able to mount an ISO with PowerShell through a shortcut, but it did open both my game and powershell.
If anyone knows the proper way how to do it with a shortcut only, feel free to leave a comment here.
Also thanks to everyone answering so early, you are the reason I got it working.