Okay, I managed to fix it.
So here's the thing, the app after the fix works like a charm, but the issue is that inside the MacOS Application, on /Contents/MacOS/reky, the reky executable DOESN'T have execute permissions, hence, the app fails to open at all. This also occurred to me when downloading another game from itch.io as a direct app instead of a zip, but that's only a suggestion.
So to recreate the bug, download it from the link, and open it, it will say it cannot open. You gotta cd into the MacOS directory inside the Application, and "chmod +x reky" for it to be able to execute. I am unsure how you might patch this bug if it occurs again, just saying. Thank the lords I know UNIX shell...
So, yeah. macOS Catalina 10.15.4, 2015 Mac, 11-inch just in case.