This paper considers a game-theoretic formulation of the covert communications problem with finite blocklength, where the transmitter (Alice) can randomly vary her transmit power in different blocks, while the warden (Willie) can randomly vary his detection threshold in different blocks. In this two player game, the payoff for Alice is a combination of the coding rate to the receiver (Bob) and the detection error probability at Willie, while the payoff for Willie is the negative of his detection error probability. Nash equilibrium solutions to the game are obtained, and shown to be efficiently computable using linear programming. For less covert requirements, our game theoretic approach can achieve substantially higher coding rates than uniformly distributed transmit powers. An alternative scheme making use of a jammer is also considered, and a game between the jammer and Willie is formulated which can also be solved using linear programming.