Ah! Yeah, I'm on Mac, too and this can be a nuisance. The issue is that Mac is trying to protect you because it's an unofficial app. The only way around it is to use Terminal to override Mac being Mac. You'll need to open Terminal and type: chmod +x
With a space after the 'x'. Then, drag and drop the App into the Terminal window to autofill the path. Press backspace once to remove the extra space, then add: /Contents/MacOS/*
So, the finished Terminal line might look like this: chmod +x /Users/Mio/Downloads/BucketHead.app/Contents/MacOS/*
Tutorial from:
https://superuser.com/questions/1127274/the-application-exampleapp-can-t-be-open...
Here's an older walkthrough of other people running into this issue with itch.io games on Mac: