Yes, it is indeed possible and it is actually really easy. You can do it through a system service, I wrote a document on how to create one. I suggest you to read it and if you have any doubt, please let me know and I'll be glad to help you. The guide can be found in https://communities.intel.com/docs/DOC-111103.
Sure, I can give you simple example on how to do it. This is the configuration I would use:
rfkill unblock bluetooth
Description=turn on BT
Try that and let me know.
It's not, in fact it's a more than valid question.
The line #!/bin/sh in that code is the shebang, in simple words, it lets the parent shell know which interpreter has to be used to run the script.
Or as Wikipedia mentions, under Unix-like operating systems, when a script with a shebang is run as a program, the program loader parses the rest of the script's initial line as an interpreter directive; the specified interpreter program is run instead, passing to it as an argument the path that was initially used when attempting to run the script.
If you would like to learn more about shebang, I'd suggest you to read the following documents: