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Hey! I just found a possible solution! Someone said that on Catalina, Steam is already seen as "trusted" so apps on Steam can run! If you have Steam send me an email happysnakegames(at)gmail.com and I can send you a code? 

If you don't use Steam don't worry, we can keep searching for another solution :D

After I posted this question I thought it might be something related to the "trusted apps" thing. I tried changing the security settings to see if that would help but it's the same result. Screenshot below for your reference.

I do indeed have Steam, I'll send you an email now.

Thanks for all your help with this!