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.