The warning you received is specific to macOS GateKeeper. Upon accessing a newly installed app, GateKeeper will first check if the app was signed using a valid developer key. This was the expected behavior in Mojave. Next, GateKeeper will check if the app has been notarized. Notarization is a process whereby a developer submits their app to be virus scanned (and other automated checks performed) by Apple.
Long story short, @Peacekeeper is correct in suggesting you to use ctrl-click.
Also, you might open
System Preferences.app and select
Security & Privacy. Then select the General tab. Your blocked app will appear under
Allow apps downloaded from:. Specifically, mine was listed as:
"Nitrokey App v1.4.app" was blocked from use because it is not from an identified developer." When trying to open it, outside of Gatekeeper, it gave me the same message as you first described.