Unfortunately there's not really any helpful information. Only "the application can't be opened".
I'll do a bit more research and see what I can come up with too.
Hey! I just found a possible solution! Someone said that on Catalina, Steam is already seen as "trusted" so apps on Steam can run! If you have Steam send me an email happysnakegames(at)gmail.com and I can send you a code?
If you don't use Steam don't worry, we can keep searching for another solution :D
After I posted this question I thought it might be something related to the "trusted apps" thing. I tried changing the security settings to see if that would help but it's the same result. Screenshot below for your reference.
I do indeed have Steam, I'll send you an email now.
Thanks for all your help with this!