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If you hold the mouse cursor near the top of the screen for a few seconds, you will see the window bar appear, then tap on the green button, which will put the game into windowed mode.  

I don't see that when I run the game.  However the info from smokescreen did the trick.  Thank you for the help.

I also noticed that the window bar will appear when using macOS Mojave, but this did not seem to work for me with macOS Catalina.