Installing Catalina on external HD deleted all my files

You might use the disk utility to see of there is a partition on that disk which isn't being mounted. Just a guess.

With Catalina installed, the APFS container for that drive is now split into "System" and "Data" volumes ("System" is read-only), but it's designed to appear as one to the casual user. Earlier betas had a bug where, if FileVault was on, the Data volume of an extra Catalina drive (i.e, not the boot disk) would not automatically mount. You might see the drive in the Finder but it was only the System volume. As hacksaw suggests, you can determine this by looking in Disk Utility and, if we're right, mount the Data volume yourself.

This, I thought, was fixed in DP 7. But it's not clear to me whether you're seeing this while booted on your internal drive (on which OS?), or the external Catalina drive. I've been testing Catalina on dedicated machines so I don't have experience with how an external Catalina drive displays on, say, Mojave.

I was able to access the files directly! Your theory was correct!

I firstly showed invisible files (command-shift-.), then I navigated into the now visible Volumes folder on my INTERNAL DISK. From there I was able to directly access the "External Disk - Data" volume. From that view I was able to get to my folder.

It's curious that Disk Utility shows "External Disk - Data" as being mounted, yet it's not present in Finder in a way that I can access it directly.

Yes, that seems odd. Perhaps it can be attributed to the fact that you were booted from your internal drive (presumably Mojave or earlier.) "Volume Groups" is a new concept in Catalina, where a Catalina drive is really two volumes but that fact is obfuscated (just like how macOS hides all those unix folders with the funny names from the squeamish. :-) ) As such, as I said, I couldn't predict how the drive would behave when mounted on an older system.

Did you ever boot onto the Catalina drive? I would think that things would have been more straightforward from there. Whatever the case, I'm sincerely happy that you appear to be good now. :-)

No, actually the behaviour only happens when viewing the drive on Catalina.

In summary, if I open the drive in Finder on Catalina I see "Applications, Library, System, Users". If I open the drive (- data) via the hidden volumes folder, I see "Applications, Library, My Previous Content, System, Users".

If I attach the drive to a machine running 10.14, both Volumes (system & data) are visible on the desktop.

Hopefully this helps anyone else who runs into the issue.

Thank you again for your help!

Good info for me, too. When I installed Catalina I was warned about how it would deal with pre-existing files in the drive root. Fortunately it was not an issue for me.