I have never used Lazarus for GUI projects under MacOS X(only FreePascal and Makefiles for compilation ), but I think Lazarus, in your situation, compile only executable without a bundle. Bundle - it is a directory with special structure inside for executables, icons, resources, frameworks and other stuff. One of solution is copying executable(for example with name MyApp) to this directory:
MyApp.app\Contents\MacOS\

Or try to find some option in "Project Options", there must be something for autogeneration a bundle.