I came in here with the same and other problems – take a look at the most recent posts in this forum and several are about Audacity in new Mac OS with some workarounds.
https://forum.audacityteam.org/t/projects-not-opening-in-catalina/55398/1
https://forum.audacityteam.org/t/open-with-audacity-wont-actually-open-a-sound-file/55054/1
and others