They have an option to set an additional password, but that only applies to that application and merely lets you lock the window.
Try to use their second application in Mac App store. It's also official app but not OSX native.
One is our native OSX app, the other is the OSX version of our multi-platform client— Telegram Desktop. Both apps are official. Both started out as unofficial applications by two different developers and vary in design and functionality.
In Telegram Desktop then, you go to preferences and under Privacy and Security you have an option to enable two-step verification.