Hey Andrej,
How could you? Keyboard Maestro is not a terminal and isn't interactive.
GPG is not installed by default on macOS as far as I know.
How did you install it? Where is it? E.g. where in the $PATH?
Keyboard Maestro doesn't use your bash (or other) profile in its execute-shell action, so GPG is probably not in the default $PATH KM uses.
Take a peek at this thread:
Create a PATH Environment Variable for Keyboard Maestro and Add /usr/local/bin to the Default Path
There're more discussions about this on the forum, and a fair bit of info on the Wiki:
Other encryption tools I've used allow you to pass the password as a parameter, so you can use a Prompt for User Input action to enter your password and pass it to the Execute a Shell Script action.
If you can't get it figured out holler.
-Chris