According to #14523, the problem is that the package is not signed (and it's an old-style package, which isn't fully supported anymore, which is why you get the wrong error message, and the usual workaround of context-clicking Open doesn't work).
There are two workarounds:
First, you can turn off Gatekeeper (in System Preferences, Security & Privacy, General, select the "Allow apps downloads from: … Anywhere" radio button), install wxPython, then turn Gatekeeper back on.
Alternatively, you can install from the command line:
sudo installer -pkg /path/to/wxPython.pkg -target /
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