I had some issues with export of applications from Processing 3.5.4 on my MacOS. I searched if someone has posted the answer and I did not find any.
The problem was that the exported application did not run at all.
Check if you have the folder "data" in Contents/Java/ for MacOS App folder of app for MacOS and just in a folder with exe and source for Windows app folder of app for Win. If not, create it and paste all extra images/sounds/etc. And try to run.
This solved my problem.