Is this a malware app? My Computer says running it might put the computer at risk.

Dont worry! This isnt a virus, alot of indie games or fan games have this type of thing, just click on more info then you can run the game!

it happens because it is downloaded from a website and not a store like epic games or steam, making it so it has an unknown publisher im pretty sure

Yes it gave me 127 viruses probably

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.