Download (ONLY) MacOS Catalina

You can create a bootable macOS USB installer using the instructions in this Apple article:

How to create a bootable installer for macOS - Apple Support

You will need access to a compatible Qualifying Mac in order to download the macOS installer. For example a Qualifying Mac for downloading a macOS 10.15 installer requires a Mac from 2012 to 2019. You can use this article to see which versions of macOS are compatible with various Apple hardware:

https://eshop.macsales.com/guides/Mac_OS_X_Compatibility

After the macOS installer downloads, it will automatically launch. Just quit the installer like you would any other app. However, you need to pay attention to the download progress so you can quit the app before it starts the process of copying the installer files and rebooting the Mac.

Another option is to boot into Internet Recovery Mode using Command + Option + R which will boot to the most recent version of macOS online installer compatible with your Mac. In theory anyway since sometimes it may only boot to the online installer for the OS which originally shipped with the Mac from the factory.

You can download older versions of macOS, from this page, using Safari:

How to download macOS - Apple Support