If it's the security error about not opening unsigned applications, you can allow the app to run anyway but it's a little more complicated than the Windows method. Thankfully you only have to do it once. Immediately upon closing the error message, go to System Preferences, and then the Security & Privacy tab. At the bottom of the window will be a message about blocking the unsigned app you just tried to launch and a button to run it anyway. Click the button and it will pop up a confirmation dialog where you'll have to enter your system password. Once done the first time, the game will run every time afterward, at least until you download a new version. MacOS sees each new version as a different app.
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So I just downloadded the current Mac versions, and it wouldn't unzip when double-clicked in the Finder. I used a third-party app called The Unarchiver and that unzipped the downloaded file fine. I think perhaps whatever utility was used to zip the game for Itch did something a little non-standard and MacOS's built-in zip tool couldn't understand the file. If this is the problem you're having, try using The Unarchiver ( https://macpaw.com/the-unarchiver ). It's free, well-known, and also available from the App Store if you prefer getting your apps that way.