"Install Spotify" can't be opened because Apple cannot check it for malicious software
Catalina requires all apps that are signed with developer IDs to be 'notarized' by Apple. 
In the absence of an updated version from the developer, you can try the following:


Right-click and select "Open". This may bring up the same dialog, but with an option to Open the file anyway.
You can get round this by removing the quarantine Extended Attribute on the file:

xattr -d com.apple.quarantine /path/to/file


Naturally, this bypasses Apple's security precautions which exist to stop maliciously altered software from running.