Hi. This is Apple's fault, actually. I'm on the latest MacOS Catalina and it works fine here, but you have to mark the launcher inside the .app's content folder as an executable. In latest versions of MacOS, when you download unknown binaries from the internet, the OS marks the launcher of this application as non-executable. To make it work, after you extract the .zip file, right-click on the .app file > show package contents, then open a terminal inside its Contents/MacOS folder. Then, type "chmod +x Siren\ Head\ v1.0" . Go back to the .app file and you can now open it normally.
It has to be the folder "inside" the .app file. See, each .app file in MacOS has a "content folder" inside it. Maybe you're in the wrong directory. You have to right-click the .app file after the .zip file was extracted and select "show package contents". Then, inside this folder, open a terminal inside its Contents/MacOS folder. To confirm you're inside the right .app folder, use the command "pwd". You should get something like:
/Users/<username>/Downloads/Siren Head.app/Contents/MacOS.
If you're somewhere else, it should not work.