In general when you create the manually a shortcut, or edit its properties, you can assign an icon from a number of possible file types.
One package that allows you to do this programmatically is menuinst (https://github.com/ContinuumIO/menuinst) – see the icon line in https://github.com/ContinuumIO/menuinst/wiki/Menu-Shortcut-Config-Structure for the usage. Another is pyshortcuts which can create desktop shortcuts specifying the icon to use and once you have a desktop shortcut you can move or duplicate it to the start menu pyshortcuts even has a wx gui which has the option to create the python code for creating the shortcut. You could use either of these packages or develop your own code based on them.
Personally I would look at using pyshortcuts – I have just tested pyshortcuts-1.3 in on Windows 10 with Python 3.7-64 and wxPython 4.0.6 and it looks to be working nicely.
GadgetSteve
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