I don't have a Citrix environment set up at the moment to test, but I would try to create a entry point executable for pnagent.exe and then copy the ThinApp bin directory to whereever pnagent.exe is stored when it's installed natively (C:\Program Files\Citrix\...????). That way when the .lnk files get created they point to the ThinApp entry point "pnagent.exe" executable.

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