The Python distributions that Apple preinstalls with the operating system (Python 2), or the partial Python 3 installed via Xcode/Command Line tools on Catalina cannot build standalone macOS applications with py2app — because they do not provide a dynamically linked Python library that is essential to a successful py2app build.
Install the Python 3.8.1 64-bit distribution from Python.org. It will install into /Library/Frameworks/Python.framework, and all of the executables will be linked back into /usr/local/bin. The installer will amend your PATH with a path to the preceding Python library at the end of your ~/.bash_profile.
Pip3 will already be installed with Python 3.8.1, and you can then use pip3 to install py2app into the Python 3.8.1 distribution. This should now permit you with a properly configured setup.py to build your standalone Python application. Fall back on the PyPy py2app docs as needed.