It seems it is a MacOs Catalina case sensitive problem (I’m on Xcode 11.2.1)…
[EDIT] it seems that the compiler is searching the include files in the “IOS” (uppercase) and can’t resolve the path with “iOS” (lowercase “i”)
\\Macbook\...\UnrealEngine\Engine\Source\ThirdParty\OpenSSL\1.1.1\Include\iOS\openssl
I had a similar problem with libPNG-1.5.2 the compiler searching the lib in the “ios” (lowercase) folder but the folder is “IOS” (uppercase)
clang: error: no such file or directory: '/MACBOOK/.../UnrealEngine/Engine/Source/ThirdParty/libPNG/libPNG-1.5.2/lib/ios/Device/libpng152.a'