Thank you for contacting Rank Math and sorry for any inconvenience that might have been caused due to that.
Your Nginx server is preventing the creation of the sitemap file. Please add the following rewrite rules to your Nginx config file to fix this:
# START Nginx Rewrites for Rank Math Sitemaps
rewrite ^/sitemap_index.xml$ /index.php?sitemap=1 last;
rewrite ^/([^/]+?)-sitemap([0-9]+)?.xml$ /index.php?sitemap=$1&sitemap_n=$2 last;
# END Nginx Rewrites for Rank Math Sitemaps