Try this solution:-
Open Terminal and type this - "chmod -R 777 /Applications/<App Name>.app/"
Once it's done open the app again. You should receive a message saying the game will not open because of Gatekeeper. Go to 'Systerm Preferences ---> Security & Privacy'. The game should be listed there. Click open anyway.
Someone provided me with this solution few months ago. Apparently Mac build made on windows doesn't have proper permission so you have to manually do it. Hope it works.