When I started it again, it asked me to create a new wallet. But when I clicked next it has immediately shown the wallet I had with the previous version 5min before that.
Are you sure that it showed the same wallet file?
Or did it just have the standard name
default_wallet ?
Because if you have created your wallet, electrum should automatically open that file.
What happens if you go to
File -> Recently opened? Do you see your wallet file?
Isn't there a file somewhere in my local macOS that is my wallet and that I can copy to a USB key?
Yes, there is.
The default directory is
~/.electrumAnd the default name is
default_wallet