Per default CLion will not be able to run the tests. However, it's pretty simple to set up.
In order to make this happen, you should add another Profile to your CMake configuration.
You can do this by going to:
Preferences... / Build, Execution, Deployment / CMake
In the Profiles list, click on the + button to add a new profile.
I gave this profile the name Test.
In the settings select the Build type = Debug, Toolchain = Use Default. CMake options = -DUNITY_VERSION:STRING=2.5.2 -DBUILD_PHASE=test-compile.
Leave the rest unchanged (which is actually empty).
After saving you can select the Test profile in the Configurations Drop-Down. After that is selected, the tests should be available.