Does it say why? If yes (should do!), tell me, I'll try to help.
most likely you need to make the file executable.
Hold command and press space. Search for "terminal" and open the app.
Input: "chmod -R +x " (note the space at the end! Don't insert quotes!) and drag the game file into the terminal (it appends the game's filepath) and press enter. Try again to run.
if it sayssomething about "not verified" and "put in trash", right click the game file, then hold the shift key and click on open, then you should be able choose to run the game. If that doesn't, hold shift and try to left-click the game file. Could be there opens the contextmenu, too, then click run.