I'm running Catalina, and this is how I got it to run:
1. Don't use MacOS Finder's built-in archive utility, unpack the .zip file with a dedicated zip utility like The Unarchiver.
2. Control-click (or right-click) the application and select Open from the menu. It will probably give you a window that says it can't run the program because it isn't authenticated.
3. Do exactly that same thing again, and this time that window will have an option to open it anyway.
Edit: I did not need to do any sort of command line stuff as another reply suggests below. But MacOS is weird like that.