Ok, I got it
The problem is that Thunar thinks that PND is just a raw executable type: by default, it tries to execute it, as if you had just typed "./somegame.pnd" on the command line. It does this because any file with the execute bit set and no mime type is assumed to be executable. Makes sense in the linux world: if we don't know what it is, but the user says it's an executable, who are we to argue? Except the execute bit is always set in FAT32, so every file the OS does not explicitly know what it is, it is going to try to run as an application.
Solution: tell the OS what a pnd is. There's supposed to be an easy and automatic way (update-mime-database) to do this, but there seems to be some files missing from the Pandora that let you do so, so we will have to do it manually for now, until someone tells me what I'm doing wrong.
As super user (sudo) edit the file "/usr/share/mime/globs" and add to the very bottom "application/pnd:*.pnd", and the file "/usr/share/mime/globs2" gets "50:/application/pnd:*.pnd"
Not sure why globs2 gets a "50:" but it's needed to make it work. Other numbers might also work, but since I have no idea what it's for I'm not going to mess with it.
Reboot!
Now *.pnd files are no longer identified as generic applications that it will try to run if you double click them. Now they are documents of type application/pnd, which you can associate a program to open them with, exactly as you have done already.
I think I'll suggest this fix, as well as making the default "run with" for pnd files, into Hot fix 6.
edit: For super easy use,
globs and
globs2 pre-edited for you. Just copy those into the /usr/share/mime directory, overwriting the existing files.