1. e4 c5
2. Nc3 g6
3. f4 Nc6
4. Nf3 e6
5. Bb5 Fg7
I'll answer the question by the following explanation (I hope it s a good one

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My aim by playing
4...e6 is to put my N on e7. The purpose of the knight would be to keep control on the case f5 and then avoiding the advance f5-f6. (Which is the thematic idea in the closed sicilian for white).
Playing 4...d6 is a loss of time (in my opinion) cause I want to play ASAP d5 (to open the center; and then gain a possible counter attack). You can observe the N on e7 play also a role in this plan.
OK, I admit my bishop is for now blocked on the queen side. However, I have some alternative with for example a fianchetto on the queen side (since you bishop is not in fianchetto on the king side.) Of course, I could exploit my white bishop with a trade of the d pawns and the e pawns after d5
I hope i explained you the main idea by playing 4...e6 and not 4...d6.
I don't get the idea of playing 5.Bb5. I think you wont trade your bishop for my N (I ll then gain the bishops' pair). Having a double pawn on the C file is not so bad, since I can play immediatly d5! and then trade my double pawn, or gain space if you plan e5. Moreover with e5 you cant play anymore f5.
In the closed sicilian, usually your bishop comes on c4 to control the d5 square and put pression on my kingside. (the e6 pawn is once more useful there

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Maybe I m totally wrong and you have an other idea

. Maybe a sort of Rossolimo (I know almost nothing about this opening

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