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It's not nice, but I did find a way to do it....although it may not suit your use case. See the bottom part of this article https://james-rankin.com/articles/quickpost-publishing-windows-explorer-in-citrix-and-rdsh/

Cool. Thanks heaps James. This is great info and worked! 🙂 My challenge is that we allow users to CRTL+F3 and bring up Task Manager and then run explorer.exe. So now that I understand what you did, I'll try and see if I can fix this.

i think the "restrict Run command" GPO stops them from using the Task Manager New task functionality, if you want to go the way of blocking it