itch.io

if it's because it's not a recognized developer then instead of double clicking to open instead right-click and then click Open, it will still say the developer is unrecognized but you will be given the option to open it anyway

most MacOS games aren't built with Catalina in mind, if you can find a way to downgrade to High Sierra you'll have a much easier time with gaming.  Sadly I haven't looked into a way to do so, I just never switched over, but there's probably a way to do it posted somewhere online!