Something tried to download on my iMac

I think you can rule out Internet download since you have the setting to open unchecked and App Store update since you do not have the option for Automatic Updates checked. This only leaves an installed app that was not downloaded from the App Store that initiated the update.

I would suggest posting the free EtreCheck report here using the Additional Text option. This software was developed by a fellow user here to show what processes are running on your computer when you start it up. Many apps will have a process that checks for updates that will be visible in this report. It will not show any personal information and you only need the free download to be able to post the report.

Using EtreCheck - Apple Community

To prevent the files from automatically opening, go to Safari > Settings > General > Open Safe files after Downloading. Make sure this is not checked.

While I cannot determine what the file was, doing this will prevent any file from automatically unzipping and prompting for installation.

Were you using any web browser at the time & if so what website were you on?

Or did this just happen out of the clear blue sky, no apps running?

+1 on posting an Etrecheck report here.

No idea what it was, have you also disabled Automatic updates?