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(+1)

Was the reason you were unable to run it due to security warnings, or was it because of a different error? If it's because of security warnings, those can be bypassed and the game should run okay.

So this is weird: 
Download, unzip, double-click-to-open or right click -> open gives the new Catalina security warning with only two options "move to trash" and "cancel" — no open option.

Trash the app, bring it back from the trash, right click -> open, get the old security warning that includes an "open" option...

So its running! But Catalina is being real goofy... 

(+1)

That's SUPER weird. I'm glad you got around it eventually!