All you need to do is copy the “Audacity” folder from the mounted .dmg into “/Users//Not OSX native/Applications - OSX alien” and not change the contents of the Audacity folder. It should not matter where the “Audacity” folder itself is as long as you copied it from the mounted .dmg.
The “Audacity” folder has a “help” folder and a “manual” folder insider that. The “index.html” page inside that “manual” folder is what Audacity looks for when you press “Help > Manual (in web browser)”.
If Audacity cannot open “index.html” (path as above) and if you double-click on that index.html page in Finder and it doesn’t open, then probably your file permissions are messed up.