show package content on app - contents - macOS - open badmemories executable file
or
Open terminal.
Paste (with a space at the end):
xattr -dr com.apple.quarantine
Drag the app onto the terminal, so you get something like xattr -dr com.apple.quarantine /Users/<username>/Games/BadMemories/Bad-Memories.app
Run that command. The app should now open properly every time without needing to locate and run the internal executable.
Please note that I don't have a mac myself, all of the above is gathered from comments of other people who played the game on mac.