Nyx isn't yet signed with Apple Developer ID, so macOS shows this on first launch:
One terminal command unblocks it for good.
Open the downloaded .dmg and drag the Nyx icon into the Applications folder.
Strips the quarantine flag so macOS lets Nyx launch. One time only.
Open it from Applications. Subsequent launches work normally.
We'll switch to a signed & notarized build once our Apple Developer account is active.