This happens with games downloaded from itchio a lot. I don't know If you've tried this but try open the game, it probably won't work so open settings and go to security and privacy which is the little house symbol, then there should be a thing asking you if you want to open it, press open anyway.
Hi, I'm a Mac user, and I had the same problem. It's a bit hard and unnecessary, but since I had it WineSkin already, it worked.
I have an unofficial download of WineSkin. What is does is to port .exe files into "skins" you can use on Mac. It's a bit complicated to explain, but you can search it up. It is unofficial, and I got mine from GitHub, so you should probably scan all downloads before installing. Wine does that too, but makes it into an actual Mac usable file, and it's quite gigantic and annoying so I got WineSkin.
I'm definitely not asking you to get some random download off the internet for one game, but on itch.io, Mac support for games is limited since not everyone has one/wants to buy one.
However, if you do encounter any problems again for any game you really want to play, you can try the things I listed above.
Hope this helps you!