I was stuck in this very same situation for a while now and have found a way to create an install media (installing while we speak) on MacOS Catalina. A bit of Terminal magic is required, but nothing too fancy.
I will create a temporary folder on the Desktop so it is easier to inspect the structure with finder.
Steps to take to get the command running as suggested in https://support.apple.com/en-sg/HT201372
- Download and mount the image for El Capitan (e.g. double click onto the .dmg file)
- Open the Terminal app
- (optional) Change to the Desktop
cd ~/Desktop
- (optional) Create a temporary folder mkdir installCapitan && cd installCapitan