Some Prequisites, Maybe:
One could (should?) pass the integral $\int_\gamma f(z) \, \mathrm{d}\overline{z}$ into the formal definition via a Riemann sum, which will look like
$$
\int_\gamma f(z) \, \mathrm{d}z := \lim_{\|P\| \to 0} \sum_i f(p(\tau_i)) \Delta p_i
$$
where:
- $p(t)$ parameterizes the curve $\gamma$ for $t \in [a,b]$
- $P := \{t_i\}_{i=0}^n$ is a partition $[a,b]$
- $\|P\| := \max |t_i- t_{i-1}|$ (the mesh of the partition)
- $\Delta p_i := p(t_i) - p(t_{i-1})$
- $\tau_i \in [t_{i-1},t_i]$ (the tag points for our function: note that at the point $p(t)$ on the curve, $f$ has value $f(p(t))$)
There are probably some items I'm overlooking, but this is essentially the gist of it. Bear in mind, in particular, $p(t) \in \mathbb{C}$ for each $t \in [a,b]$.
It is only in sufficiently nice situations that we have
$$
\int_\gamma f(z) \, \mathrm{d}z
= \int_a^b f(p(t)) p'(t) \, \mathrm{d}t \tag{1}
$$
so, naturally, one sees an association of
$$
\mathrm{d}z \mapsto p'(t) \, \mathrm{d}t
\newcommand{\dd}{\mathrm{d}}
\newcommand{\z}{\overline{z}}
\newcommand{\p}{\overline{p}}
$$
This should make sense: in proving $(1)$, one uses the mean value theorem to see that small changes in $z$ along the curve take a form like the above (due to the rise of a $\Delta p_i$-like term that the mean value theorem handles).
A Rough & Dirty Derivation:
A proper, formal derivation via the Riemann sum is left to the reader as an exercise, but the spirit is mostly the same.
So, what might a small change $\dd \z$ look like? Well, if $z = p(t)$ for a particular $t$, then $\z = \p(t)$ for that same $t$. Then
$$
\Delta \z
= \p(t_i) - \p(t_{i-1})
= \overline{p(t_i) - p(t_{i-1})}
$$
In the limit $\|P\| \to 0$, then, in the "sufficiently nice" situation,
$$
\dd \z = \overline{p'(t) \, \dd t}
$$
Of course, since $\dd t$ is a real quantity,
$$
\dd \z = \overline{p'(t)} \, \dd t
$$
and then
$$\begin{align*}
\int_\gamma f(z) \, \mathrm{d}\z
&= \int_a^b f(p(t)) \, \overline{p'(t)} \, \dd t\\
&= \int_a^b \overline{\overline{f(p(t))} \, p'(t)} \, \dd t\\
&= \overline{\int_a^b \overline{f(p(t))} \, p'(t) \, \dd t}\\
&= \overline{\int_\gamma \overline{f(z)} \, \dd z}\\
\end{align*}$$
as desired.