You cannot install a custom recovery like TWRP without first unlocking the bootloader.
The phone will wipe all data and reboot. Complete the initial setup again. Download the following necessary files to your PC:
When the blue warning screen appears, long-press to enter the bootloader unlock menu, then press Volume Up again to confirm.
Maintain at least 50% battery life before starting. Step 1: Unlock the Bootloader
In Odin, click the button and select your TWRP .tar file.
Use the latest version available on SamsungOdin .
Complete Guide to Root and Install TWRP Recovery on Samsung Galaxy A20 (SM-A205)