Look for the executable or setup file labeled v1.0.0 and run that first.
Once the base game is installed, run the v1.2.0 update installer or copy its files over into the main game directory (depending on how the files are structured). The Pale Beyond (v1.0.0) [GOG] [Update v1.2.0]
This indicates that the package includes (or is patched up to) update version 1.2.0, which added quality-of-life improvements like dialogue skipping. Look for the executable or setup file labeled v1