The following worked!
I created an app using "Script Editor" that runs
do shell script "zsh /usr/local/bin/borg-backup.sh"
I then exported the app to
/Applications/borg-backup.app clicking "File" then "Export..." choosing "Application" for "File Format".
Finally, I updated
The first time the launch agent ran, a prompt asked me to grant
borg-backup.app access to