I think you can create the shortcut under the selected GPO by navigating to "User Configuration" -> "Preferences" -> "Windows Settings" -> "Shortcuts."
Next in the same GPO where you created the shortcut, navigate to "User Configuration" -> "Preferences" -> "Windows Settings" -> "Files." to make a new "File" action to copy the shortcut file to the user's Start Menu folder. Set the source and destination paths accordingly.