Ok with a bit of trial and error I figured out that your project needs access to the materials folder for some reason. It appears as if the materials used are not included in the .pck file that Godot exports. If you place the executable and its .pck file in the same directory where the materials folder can be found, it works. Otherwise it throws the error you posted.
For now, make sure to bundle the materials folder with your game until you find out why materials are not exported.