Wine is the way to go on this.

The most user-friendly option would be Winebottler, which let's you select a Windows installer or a .exe file and automatically turn it into a .app folder to run on MacOS. If JJ2 is the only Windows app you currently need, you can choose the checkmark to bundle Wine.app inside the package it produces. Then after it has successfully bottled a JJ2 and everything works, you may safely remove Winebottler.app and Wine.app from your Applications folder.

I'm not 100% sure on the steps anymore, but they should be:
1: Download Winebottler.
2: Open it, and drag both Winebottler.app and Wine.app to your Applications folder.
3: Open Winebottler from Applications, and go to the Advanced tab on the right.
4: Choose to install a program from an installer, select the JJ2 installer you got from GoG.com.
5: Fill in the app name and info however you want. the identifier can be anything as you don't sign the app. You may do com.epic.jj2 or something.
6: Best to tick the checkbox to include Wine.app bundled to make the app independent.
7: Start the install, and click through the JJ2 installer process. Paths and start menu stuff doesn't matter.
8: After it finishes, choose the .exe file that needs to be opened after starting the app. That would be Jazz2.exe if it lists that, but I'm not sure how the GoG version works with this.
9: Save the produced app to /Applications and test it. If everything works, you're free to remove Wine.app and Winebottler.app from /Applications unless you need to run more Windows apps.

Fun fact: A Mac version of JJ2 was initially ported and released. But it's version 1.23, lacks a level editor, produces some glitches while playing with Windows multiplayer clients, and only works on PowerPC Mac's which are today pretty much ancient in computer terms.