You can create Entry Points to pretty much anything (doesn't have to be executables). One thing to keep in mind is that the build machine must be able to verify the source of the Entry Point during build. But you do not have to have access to the real file. You can create a text file and name it ApplicationName.exe in the correct path and it will be accepted during build.
One important thing is WorkingDirectory= . Quite often when creating Entry Points to something located on a network share do you need to specify WorkingDirectory. If not specified will the location of the ThinApp package be the working directory.