That screenshot is very helpful. What you're doing seems to be ok. Copy complete doesn't appear (in Catalina anyway) but all other indications are identical to what I expect.
Did you follow these instructions: How to create a bootable installer for macOS - Apple Support?
Proper formatting and GUID partition map are both critical. The instructions don't really emphasize that fact.
Anyway, those instructions worked for me, for Catalina as well as all installers that incorporate the createinstallmedia code. The resulting device becomes appropriately named, is bootable, and works to install Catalina on Macs that support it, so I don't know why yours isn't working.
Some USB flash drives just don't work well with Macs though. Try another? Connect it directly to the Mac. No hubs. No daisy-chaining.
SD cards work exactly the same, if you happen to have one lying around.
Another thought: creating a Firmware Password prevents starting a Mac from any device other than the one selected in Startup Disk preferences, but the password challenge would appear in that case.