Could you share a screen recording or a screenshot that shows the problem? Also, what's the version of After Effects and version of macOS you're using?
CTRL+ALT+N is not a command for the mac version. I suppose that you are using Command+Option+N
Anyway, your screenshot is for the Save As... dialog box. Before that window appears, After Effects shows you another window where you have the option you are looking for. Try to read the messagges before clicking or pressing Enter!!