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Super Mario 127 does not have an official mobile version. You will need to use something like Exagear or Winlator (I'd recommend Winlator).

To put it into more detail, Windows (I'm assuming it's Windows based on the message you put) doesn't really like unsigned apps, Super Mario 127 being one of them. Running an unsigned app for the first time triggers SmartScreen, the Windows component that displays that window stating that it might be risky to run the program. Super Mario 127 isn't a kind of malware, so all you need to do is click on "More Info" and then "Run Anyway." Windows will remember that choice, so you will not to see SmartScreen pop up for that version. The Linux version does not have this issue because no such component exists for Linux; really, the only thing that's stopping you from running the game is not having it marked as executable.

You can play as Peter Griffin holding a gun; you don't know how powerful this game is.

Ok but here me out: the BEST 2D horror game I've seen so far, it's just too amazing to explain in words.