My guess is that the reason for this error is because in Catalina, the startup volume (Macintosh HD) is split into a read-only and a read-write partition; the game seems to be in the read-only volume. I'm not sure what the official fix is, but a workaround for this problem right now is that if you have access to a volume that you have read-write permissions (such as a flash drive or the Google Drive folder), you can move Pokemon Reborn.app onto this volume and the game should work!