To where is the Catalina installer saved? I've downloaded Catalina using Mac App Store. Considering the size of several GB and how this worked with the Mojave update I expected an installer to appear in /Applications. It didn't. 

It's not listed as a large file, and I can't find it with a tree map of ~/Library. 

Can it be found somewhere else?

My end goal is to use it to install onto a USB drive.
It should be in the global /Applications folder. By default all App Store downloads go there. It's been that way for years.