Unable to Open Footprint in Allegro

...for what it's worth, it was for this footprint: https://www.snapeda.com/parts/BSS138/Fairchild%20Semiconductor/view-part/

Thanks for your question. Did you try the Allegro instructions?

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How do I import a footprint from SnapEDA into Cadence Allegro?

Follow these steps to import into Cadence Allegro:

Extract files to your padstack path

Open the ZIP file and extract the contents.
In Allegro, select Setup > User Preferences...
In the Categories box, select Paths > Library.
In the Category : Library box, click ... after padpath.
The padpath Items window shows where you should place copy the downloaded ZIP contents. SnapEDA recommends you create a new path to store padstacks from SnapEDA, one path per download.
If you made any changes, restart Allegro
Import padstacks

In Allegro, select Tools > Padstack > Modify Library Padstack...
Repeat the following for each of the PSR files you downloaded:
In the Select Library Padstack window, select any existing padstack, then click Ok
In the Pad_Designer window, select File > Script...
In the Scripting window, click Browse...
In the file browser window, change File of Type to to All Files (*.*).
Select a PSR file, then click Open.
In the Scripting window, click Replay.
In the Select Library Padstack window, click Ok.
Import package

In Allegro, select File > Script...
In the Scripting window, click Browse...
Select the SCR file you downloaded, then click Open.
In the Scripting window, click Replay.
Automatically import

The ZIP file downloaded from SnapEDA contains a BAT file which automates importing all padstack and the package. Follow these steps to import automatically:

Follow steps Extract files to your padstack path above.
In Windows Explorer, double-click allegrobuilder.bat.
Note: Some version of Allegro will repeatedly ask to import the padstack. If this happens, click the X button to close the Command Window.

I would add that we recognize the workflow to Allegro is not ideal in terms of user experience, and it's definitely something on our radar.

I cannot get the above process to work at all.

The footprint that I want is https://www.snapeda.com/parts/PJ-102A/CUI/view-part/