Reproduction steps:
1. Create a new project
2. Go File -> Build Settings
3. Select standalone Mac platform
4. Enable the "Create Xcode Project" option
5. Click "Build"
6. You will be prompted to choose the build location

Expected result: You will be able to choose where xcodeproj will be located, both project and accompanying files will be generate inside selected location
Actual result: You must select a folder type file to begin the build. After the build completes xcodeproj file is created next to selected location and accompanying files are missing

Reproducible with: 2020.2.0b10, 2021.1.0a3
Not reproducible with 2019.4.14f1, 2020.1.12f1
Could not test with 2018.4 because you cannot make Xcode projects for OSX

Notes:
1. This issue appeared after fix in case 1265065 (previously there were other issues)
2. With iOS OSX tvOS builds cannot be built in the root of the project (invalid path exception)