The Groovy script you provided is formatting the first line as a blank line in the resultant script. The shebang, telling the script to run with /bin/bash instead of /bin/sh, needs to be on the first line of the file or it will be ignored.
So instead, you should format your Groovy like this:
stage('Setting the variables values') {
steps {
sh '''#!/bin/bash
echo "hello world"
'''
}
}
And it will execute with /bin/bash.