Your computer might not see the game as executable or “runnable”. This is the fault of the game distributor. Open a terminal and go to the folder your game’s executable is in. You can do ls to check if it is there. It might have an extension like .x86_64. Run the following command, replacing NAME with the game’s executable filename:
chmod +x NAME
Chmod is a program that changes the file permissions. +x is an arguments to chmod, which says “make this an executable program”, and finaly NAME should be the name of whatever file you want to make executable. You should then try running the game from your terminal:
./NAME
Let me know if it works!