This is something that’s been giving problems recently with macOS.
I know next to nothing about macOS but these two recent topics may give you information about how to get macOS to allow excecution:
For older versions via the webiste, the file lists are not random, they are first organised as a list of folders in numerical order of version number.
In each of those folders is a set of files for that version, for all supported operating systems and various ancilliary files that are often important.
All you need to do is find the .dmg file, which is the macOS executable.
There’s only one .dmg file so that shouldn’t be difficult.
