Ah --- you are missing a step. Here's the steps (I just did ALL of these on Catalina, so I know they work.)
(You may want to print this out, it's kinda long, but as complete as I could make it!)
The file that you downloaded as the El Capitan installer was named InstallMacOSX.dmg
Opening that file made a folder mount on your desktop, named Install OS X. Inside that folder is the Install OS X.pkg file. I think that's what you have now. It does NOT need to be in your Applications folder.
Just open that pkg, which will launch the installer. Do the install. Its only purpose is to copy the actual installer to your Applications folder. (and does not affect your Catalina install in any way!) That one is named "Install OS X El Capitan.app" (That's the step that you are missing)
Follow the steps to make your bootable installer. If you will use a flash drive for that, insert it now if you haven't done that.
Right-click on the El Cap installer (in your Applications folder now) and choose "Show Package Contents" Open "Contents", then open the "Resources" folder. You're making this ready for the terminal, so launch the terminal NOW.
In the terminal: type sudo, then a space.
Look in that Resources folder that you just opened in the El Cap installer, find and drag the "createinstallmedia" to your terminal window. You will see the complete path to that file appear. Now type "--volume" without the quotes, and add a space. Drag the icon for your flash drive into your terminal window. There should be an automatic space added after that, so type "--applicationpath" again without the quotes, and again add a space. (Almost done!) Now, drag the installer app "Install OS X El Capitan.app" from your Applications folder to your terminal window.
NOW, press enter. Type in your admin password when asked. (The terminal window will NOT show any response when typing a password, just type it, and press enter again. One more response, should ask for a "Y" if you really want to do the command. Then, wait. Some slow flash drives might take 15 or 20 minutes to complete. It will eventually return to a normal prompt. One of the last lines will say "Making volume bootable" or something like that, and you will know it has just a few seconds left.
And, that should be it... I don't think I left anything important out, but do let me know if you still have problems with that.
(Sorry for the "wall of text", but it is what it is.

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