The are are two key uses of npx.
Running executables inside your downloaded dependencies
For example npx jest.
The pnpm equivalent is pnpm exec jest.
Running executable commands in packages you want to download transiently
For example npx create-react-app my-app.
The pnpm equivalent of this is pnpm dlx create-react-app my-app.
Note: There used to be a pnpx command, but it has been deprecated.