You can't just unzip them - you'll need an application to decompress and recombine them back into one file. "The Unarchiver" app is free from the Mac App Store. Drag the two downloaded game files (do not change their names) at the same time onto The Unarchiver and it will unzip and merge them into a single DMG ready to install.
https://apps.apple.com/us/app/the-unarchiver/id425424353?mt=12