Books doesn't have a 'Show in Finder'?
Turns out that Books on Catalina is a disaster. It moves all of your data from wherever you had it in iTunes (in my case an external drive) and puts it onto your internal drive. There is no interface to change the location (you can do it with a symbolic link created in terminal I believe).

mv ~/Library/Containers/com.apple.BKAgentService/Data/Documents/iBooks/Books/ /Volumes/SomeDrive/Books
ln -s /Volumes/SomeDrive/Books ~/Library/Containers/com.apple.BKAgentService/Data/Documents/iBooks/Books/


I have a new November 2019 MacBookPro, so I can't download to Mojave.

For more reading and complaining check the following link:

https://macmost.com/forum/how-do-i-manage-my-audiobook-library-in-macos-catalina.html