https://imgur.com/BQD42bt
WIN version does have .exe file.
If your folder looks different from this screenshot, you're most likely having issues with unpacking tool.
I suggest trying something like 7Zip.
In that case you should contact Itch support, because their application clearly is doing something its not supposed to do.
Who knows what else it may be doing wrong~
I cant fix problem with someone else application errors from my side :)
Its just archieve and non-encrypted exe file, why its trying to unpack it automatically is mystery to me.
You can also try to download Linux version and run it from .bat file like this (yes it should run on windows if using .Bat launch)
java.exe -Djava.library.path=native/windows -Xss50M -jar LewdMaze.jar
Assuming this app at least doesn't unpack Jar files automatically~