The thing is that ngrok does not do anything useful beyond printing out the help text when double-clicked, and without the text, I'd be worried that a user might actually try to double-click it again when it doesn't do what they want instead of typing the command with useful arguments, if that makes sense.
Telling users they are wrong seldom works in the long run, because this requires a change in the mental model. The program model most people using GUIs assume is "you open a program, then you tell it what to do". The CLI model of "you first decide what the program must do, then you run it" just requires more thinking. As Steve Krug points out, "don't make me think" :)
After reading a bit into what ngrok actually is, kulkarnic's suggestion of an interactive mode probably makes more sense. Easier than building a full GUI, but an experience close enough to a GUI that even users unfamiliar with a commandline should be able to use it without difficulty.