The Import dialog box lets you change the location where photos will be stored. It's under Destination on the right hand side. It doesn't matter where the catalog is located, you must change the Destination in the Import dialog box. Also, catalog usually don't go on an external HD unless you are trying to transfer the catalog back and forth between two computers.
Yeah, it's kind of annoying how when LR doesn't know where you want things it presumes. It sure would be nice if there was a setting to say "ask!" as a default. Unfortunatetly both Windows and Macs have a default area for photos to make things "easy" for folks.
Anyhow, you DO have control on this: on the left side you can find the folder/card/item that you want to import into your collection and on the right side you can tell it where to go as shown below. For reference I have 3 external hard drives attached to my computer: the G-Drive is where all of my images, files, and other documents get placed. G-Drive Backup is what it sounds like: I do a complete back up of my G-Drive at least once a week or after doing a big ingestion of images. Lastly there is Main Backup, that's my Time Machine backup of my computer. (I also have my computer and the G-Drive backed up to a cloud service).
My point here is that all of those drives are visible, you just have to select the drive and location as to where the images go.
One tip: If I were to click on the California folder with the intent to add a folder for new images to go, it would bring up the Mac's New Folder window where I'd have to once again dig down to add the folder in the location I wanted. I've found that if I create the new folder BEFORE I start the Import, it's there waiting for me. That saves time.
Tip #2: if you have a folder of images you want to bring into your catalog, if you are in Library mode and have the Grid (of images) showing, you can drag that folder over the Grid and LR will automatically switch over to Import mode and all you have to do is then deside the normal conditions you want, any presets, move or add, whatever, then the location (already pre-set by Tip #1), and then click OK — you're done!