Hi Asgerl,
Welcome to Apple Support Communities. I understand you're unable to open Steam on your MacBook Pro.
Having the ability to open and use your favorite apps is extremely important to fully enjoy your Mac. I'll be happy to help.
Just to be sure, did you download the 64-bit app of Steam to your Mac? The reason I ask is that macOS Catalina no longer supports 32-bit apps. Here's two articles with additional information: 32-bit app compatibility with macOS High Sierra 10.13.4 and later and Steam and macOS 10.15 Catalina
Now if you do have the 64 bit app of Steam, I suggest following the steps outlined on Steam's website to repair the disk permissions: Repairing Disk Permissions on Mac This can help resolve the ability to open and use the app.
Kind regards.