I'm not sure but I think you have to open the .dmg file and run the .app file inside :)
Viewing post in Simple Elemental brawl jam comments
I'm guessing you tried to create this from a Windows machine? Mac builds need to be created from a Mac machine that has XCode installed: https://docs.godotengine.org/en/3.4/tutorials/export/exporting_for_mac.html#requ...