Okay let's get a bit of clarity.
If you want to download El Capitan you can get it here,
How to upgrade to OS X El Capitan – Apple Support
you then go to Section 4 and download InstallMacOSX.dmg
which downloads to your Downloads folder.
You then open that to get the InstallMacOSX.pkg.
These are things you have done on your MBP with Catalina,
you can do these two things on any mac.
BUT here is where it goes wrong as this next section can only be done on a mac
that is capable of running El Capitan, therefore any mac that came pre-installed
with a newer OS like macOS Sierra and newer will refuse to do this next bit.
Double-clicking on InstallMacOSX.pkg will open the installation window as
shown in your screenshot, this does not install El Capitan but will create the
Install OS X El Capitan.app in your Applications folder.
You then use the Install OS X El Capitan.app in the Applications folder and the createinstallmedia
command in Terminal to create the USB installer. (This part can be done on any mac.)
So let's just recap, you can do some of the procedures on your MacBook Pro
except for one crucial one. (Well done Apple really well thought out)
You really need to do this on a mac that is capable of running El Capitan,
that includes any macs that are are eligible to install El Capitan but may be
running older OS's like Lion, ML, Mavericks or Yosemite. A mac that is capable
of running or at one time had been running El Capitan but has been upgraded
to a newer version of mac OS can be used to do this.
Any macs that came preinstalled with a newer macOS like Sierra, High Sierra, Mojave
or Catalina will refuse to do the creation of the Install OS X El Capitan.app.
Hope that clears things up a bit.