Hey
With your select action you create an Object that can have multiple items... So you have to loop them and create a file for each of them... if there is only one set of data that's fine but you will still have to create a loop for Power Automate to understand what you want...
So basically like this:

You create an Apply to each and select the Dynamic Value "Output" of your Select action.
And in the Create File action, you enter the Expression item()?['Project]
Let us know if this is what you're looking for...
cheers