The good news is that worked! Thanks for the suggestion.
The bad news is I still can't run the game. I found out what happens is a segmentation fault when I run the executable it with the terminal.
This is the output I got with gdb:
Starting program: /home/guilherme/jogos/Monolith-demo5-linux/runner
[Thread debugging using libthread_db enabled]
Using host libthread_db library "/lib/x86_64-linux-gnu/libthread_db.so.1".
***************************************
* YoYo Games Linux Runner V1.3 *
***************************************
CommandLine: -game game.unx
ExeName= /home/guilherme/jogos/Monolith-demo5-linux/runner
MemoryManager allocated: 1723148
INI DisplayName=Monolith
SavePrePend /home/guilherme/.config/Monolith_demo5_linux/
GAMEPAD: Initialising Ubuntu support
Attempting to set gamepadcount to 4
GAMEPAD: Enumerating 3
GAMEPAD: device name Microntek USB Joystick
GAMEPAD: buttons - 12, axes - 6
Display Size(Pixels): 1920,1080
GameDisplayName=Monolith
Win #1
XF86VidModeExtension-Version 2.2
[New Thread 0xf2e85b40 (LWP 4199)]
[New Thread 0xf264bb40 (LWP 4200)]
[New Thread 0xf1e4ab40 (LWP 4201)]
Got Doublebuffered Visual!
glX-Version 1.4
Icon: w=64 h=64
sw=1920 wh=1080
WindowCentre: 840,395
Depth 24
Congrats, you have Direct Rendering!
sync = 0
**** GLX Extensions ***
GLX_ARB_create_context GLX_ARB_create_context_profile GLX_ARB_create_context_robustness GLX_ARB_fbconfig_float GLX_ARB_framebuffer_sRGB GLX_ARB_get_proc_address GLX_ARB_multisample GLX_EXT_import_context GLX_EXT_visual_info GLX_EXT_visual_rating GLX_EXT_fbconfig_packed_float GLX_EXT_framebuffer_sRGB GLX_EXT_create_context_es2_profile GLX_EXT_create_context_es_profile GLX_MESA_copy_sub_buffer GLX_MESA_multithread_makecurrent GLX_MESA_query_renderer GLX_MESA_swap_control GLX_OML_swap_method GLX_OML_sync_control GLX_SGI_make_current_read GLX_SGI_swap_control GLX_SGI_video_sync GLX_SGIS_multisample GLX_SGIX_fbconfig GLX_SGIX_pbuffer GLX_SGIX_visual_select_group GLX_EXT_texture_from_pixmap GLX_INTEL_swap_event GLX_EXT_buffer_age
Checking for GLX_EXT_swap_control
Checking for GLX_SGI_swap_control
Vsync: GLX_SGI
DOUBLE BUFFERED
OpenGL: version string 3.0 Mesa 17.0.3
OpenGL: vendor string X.Org
OpenGL GLSL: version string 1.30
Thread 4 "si_shader:1" received signal SIGSEGV, Segmentation fault.
[Switching to Thread 0xf1e4ab40 (LWP 4201)]
0x08320f6f in ?? ()
(gdb) where
#0 0x08320f6f in ?? ()
#1 0x08321c34 in operator new(unsigned int) ()
#2 0xf34824d5 in llvm::Function::BuildLazyArguments() const () from /usr/lib/i386-linux-gnu/libLLVM-4.0.so.1
#3 0xf343d999 in LLVMGetParam () from /usr/lib/i386-linux-gnu/libLLVM-4.0.so.1
#4 0xf688cf93 in ?? () from /usr/lib/i386-linux-gnu/dri/radeonsi_dri.so
#5 0xf688d3a7 in ?? () from /usr/lib/i386-linux-gnu/dri/radeonsi_dri.so
#6 0xf689c10b in ?? () from /usr/lib/i386-linux-gnu/dri/radeonsi_dri.so
#7 0xf68af8ec in ?? () from /usr/lib/i386-linux-gnu/dri/radeonsi_dri.so
#8 0xf661001b in ?? () from /usr/lib/i386-linux-gnu/dri/radeonsi_dri.so
#9 0xf7c7a2f5 in start_thread () from /lib/i386-linux-gnu/libpthread.so.0
#10 0xf773f6de in clone () from /lib/i386-linux-gnu/libc.so.6
I don't know if that's a problem with GameMaker executables in general, but I managed to run other GameMaker projects on Ubuntu in the past, so that's pretty strange.