Ah, now I don't know much about Macs, but are you correctly using the .dmg file? From my understanding , the .dmg file won't actually open the game, it instead mounts itself to your file system/explorer, which in turn contains the .app file of the game.
The reason I say this is because you described what I think should be intended behavior. If it truly doesn't work, please send me a message on Discord if you can.