Apple - Photos library - importing photos from DSLR camera - missing Masters directory (macOS Catalina)

Is there a reason you want/need to do this via the Finder, exploring the Photos Library.photoslibrary package database?

If you are going to do that, why not just "import" the files from your SD Card using Finder? Skip importing via Photos entirely.

If you are importing into Photos, I'd suggest you also export via rather than exploring its folder structure. Select the photos you want, then select File > Export. This will export the photos using their original metadata and filenames.