To be specific, it's a permissions issue. I don't know how Unity messed this up, but all that's needed is to add the "x" permission to ThatGame.app/Contents/MacOS/ThatGame using chmod. I don't see why this can't be done with Windows Subsystem for Linux (although I haven't tested that), but that should be much easier than setting up a Catalina VM (although setting up a Linux VM should also be easier if WSL doesn't work, tbh).