MacOS Catalina 10.15.1
This worked in previous MacOS versions; I can’t figure out why it no longer does.
Start without Audacity running
From a finder window, bring up the context menu on an audio file
Select Open With
The file is loaded
Do not shut Audacity down and try the same sequence.
The second audio file does not get loaded.
Previously a new Audacity window would have opened with the second (and subsequent) file loaded.