deliver creates a single executable file. However graphical Macintosh applications consist of an application bundle, which is a folder Foo.app with several subfolders containing the main executable and other resources.
LispWorks for Macintosh contains a function that constructs an application bundle. You can use this such that your executable is delivered ready to run in its application bundle in the usual Mac OS X way. See Creating a Mac OS X application bundle for an illustration of this.
LispWorks Delivery User Guide - 15 Feb 2015