We are sorry about the issue you are facing while trying to use Save for Web in Photoshop.
Would you mind confirming if you get the error when selecting the option to Save for Web from the File menu or later while actually saving the file? Since you are using macOS Catalina, you can add Photoshop to the Accessibility list by going to the System Preferences, then Security and Privacy and selecting the Privacy Tab. Also grant permissions to Photoshop under the Files and Folders list. Once done, restart the computer and check if that helps.
You can also try to reset the preferences of Photoshop by following the steps mentioned in the link below.