If you are using an Intel Mac with a T2 security chip, you need to change the boot security in order to be able to boot on an external media (SD card or USB key).
Command (⌘) + R.Tools > Boot Security Tool.No security and Allow booting from external media options and close the window.Option (⌥) key and once you have the available drives displayed on your screen, select EFI Boot.Enjoy the game!