After getting this pop up, go to system settings -> privacy and security. In the security part, on the bottom, you will see the app. Click "open anyway". This applied to pretty munch every game I downloaded from itch.io on mac and they normally work fine after that.
Unfortunately, even after doing so, the game doesn't seem to work on mac currently, based on my experience and other comments here :( Even if I manage to open the game, nothing happens for me.