Why I'm getting this error: invalid conversion from 'const char*' to 'char' [-fpermissive]?
const char data = "should";


In this case data is a single character, not a string. So it can store 's' but not "should".

Serial.print("this " + data + " work");


No, that will never work, even if you get your data types correct.  You do not concatenate strings like that. All you are doing is attempting to add the addresses of two string literals to the address of a string constant. If that were possible (the  compiler doesn't let  you) you'll get gibberish (or a crash) as it tries to print out whatever is at that address.

Instead break it down:

Serial.print("this ");
Serial.print(should);
Serial.print(" work");