Try to create a bootable USB

The new InstallMacOSX.dmg download for El Capitan requires you to open that

to InstallMacOSX.pkg, you have probably done that.

The next bit can only be done on a mac that is capable of running El Capitan.

Any mac that came preinstalled with a newer macOS like Sierra, High Sierra, Mojave or Catalina

will refuse to do this.

When you open the InstallMacOSX.pkg an installation window will open,

this does not install El Capitan but creates the Install OS X El Capitan.app

in your Applications folder.

But if your current MacBook that has Catalina cannot run El Capitan as described above you will

get an error saying Mac OS X El Capitan cannot be installed on this mac, or something similar.

Do you have another mac or can you borrow another mac that you know is capable of running

El Capitan.

Once you have the Install OS X El Capitan.app int he Applications folder then you will be able to create

a bootable USB installer.

How to create a bootable installer for macOS – Apple Support

Although I'm sure you already got some of this I wanted to provide a step-by-step:

1. Download the InstallMacOSXdmg from the link in Step #4 here: https://support.apple.com/en-us/HT206886
2. Inside you'll find a "package" file (InstallMacOSX.pkg). Run that file and it will bring up a wizard. This wizard will create the actual "Install OS X El Capitan.app" in your Applications folder. This is what is required to have for the instructions (the how-to guide linked in Step #6) to work.
3. Erase an 16GB of larger USB flash drive. Life will be much easier if you give it the name: MyVolume (exactly that, no spaces before, after, or in between).
4. Then you open a Terminal window by typing in Terminal from the spotlight magnifying search icon.
5. In terminal (if you erased your USB flash drive as I advised in Step #4) you can copy the "El Capitan" line in step three of this document (https://support.apple.com/en-us/HT201372) and paste it into terminal and hit enter.
6. It may act like it's doing nothing other than starting the command for several minutes, but then it should show you a progress bar.

You should now have a bootable USB with 10.11 El Capitan.

Also, I don't believe you are prohibited from the running the package file (InstallMacOSX.pkg) to create the actual install app (in Applications folder) just because your machine is on Catalina and your hardware doesn't support something as old as OS X 10.11. You just can't run the actual installer (Install OS X El Capitan.app)...which of course you don't need or want to, not on your working Mac with Catalina, as you just need access to the files to be present in order for the Terminal command to work properly.

Yes, that should be fine, but how are they getting the Install OS X El Capitan.app.

Also make sure that this Install OS X El Capitan.app you are getting from 'someone'

was downloaded from Apple after October 2019.

Any El Capitan installers prior to October 2019 have an in valid certificate meaning

they will not install. There is a workaround though, so if that is all you can get

then get back in touch and I will tell you how.

My bad, I guess I've always been lucky running this on Catalina but on older machines. It looks like you have to jump through some hoops but supposedly you can do it: https://apple.stackexchange.com/questions/379603/how-do-i-create-el-capitan-installer-on-a-catalina-or-post-el-capitan-installe

(skip down past the first instructions to the longer steps 1-6)

I've not verified this but it does look pretty solid.

In order to create the Install OS X El Capitan.app from the InstallMacOSX.pkg you DO

need to do it on a mac that is capable of running El Capitan.

I don't know of any other way to do it than getting hold of a mac that is capable of running El Capitan.