i know this post is old but i was looking for this to run my LED buttons when PI is booting. Finally i managed to get it working
I copy the script file in "/recalbox/share/system" then i fallow Substring recommendation
my custom scrypt is looking like this:
#################################################
#!/bin/sh
#/recalbox/share/system/custom.sh
cd /recalbox/share/system/
python relay1.py&
################################################