Hey,
tejasunku is correct about this probably being a Catalina issue, we did sign the game with apple so it should allow it to run, but I believe the security system of Catalina(gatekeeper) might still flag a game, if it's downloaded through a browser.
If you're using your browser to download, you can instead try to install using the itch.io app https://itch.io/app this should fix the issue.
If it doesn't, please let me know and I'll take a closer look and see what we can do.